There are two parallel lines of research on the relationship between personality and depression, one based on the Big Five personality model and one on Beck’s cognitive theory of depression. However, no study has jointly examined the dimensions and facets of the Big Five and the dysfunctional attitudes of Beck’s theory. This was the objective of the present study. The Revised NEO Personality Inventory (NEO PI-R), the Dysfunctional Attitude Scale (DAS-A), and the Beck Depression Inventory (BDI-IA) were applied to 221 adults from the Spanish general population (53.7% females; mean age: 38.3 years). Various multiple linear regression analyses revealed that only the facet of depression was significantly related to depressive symptomatology. The different associations of the broad and specific personality traits and the need to control as many third variables as possible to prevent the finding of spurious relationships are discussed.