People high in depressive symptoms show probability bias: they think negative events are relatively likely, especially compared with positive events. However, their past- and future-related thinking also has other distinctive characteristics, so we wondered how independent probability bias is from these other phenomena. In two samples of Turkish students (Ns = 163 and 179), we found that depressive symptoms were the strongest predictor of probability bias even when rumination, intrusive future imagery, overgeneral memory and anxiety were controlled in our models; furthermore, probability bias remained a significant predictor of depression when these other variables were controlled. These results suggest that a relatively negative probability bias is an independent correlate of depressive symptoms, and is not simply confounded with other past- or future thinking-related phenomena that have been observed in more depressed individuals. We hope that future individual differences and clinical research will focus more on depression-related probability bias.