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Dependency and self-criticism have been proposed as personality dimensions that confer vulnerability to depression. In this study we set out to investigate the diagnostic specificity of these personality dimensions and their relationship with gender differences, severity of depression, and specific depressive symptoms. Levels of dependency and self-criticism as measured by the Depressive Experiences Questionnaire (DEQ) were compared among patients with major depressive disorder (MDD; n = 93), mixed psychiatric patients (n = 43), university students (n = 501), and community adults (n = 253). Associations with severity of depression and specific depressive symptoms were also explored. Results showed that dependency was more specifically associated with MDD, whereas self-criticism did not differ between depressed and mixed psychiatric patients. In line with the gender incongruence hypothesis, women with MDD and other psychiatric disorders had higher levels of self-criticism compared to men, whereas men with MDD had higher levels of dependency compared to women. Severity of depression was more clearly linked to self-criticism than to dependency, particularly in patients with MDD. Finally, both dependency and self-criticism were related to theoretically predicted clusters of depressive symptoms, especially after we controlled for shared variance between self-critical and dependent symptoms, respectively. Limitations of this study include the cross-sectional design, which limited the ability to draw causal conclusions. In addition, this study relied exclusively on self-reported personality and mood. Overall, findings of this study suggest that both dependency and self-criticism are associated with MDD, severity of depression, and specific depressive symptoms, and that gender-incongruent personality traits may be associated with increased risk for depression and other disorders.