Traditionally, screening research tests how well a given symptom inventory can identify a concurrent depressive episode. Although developmental psychopathology could inform screening protocols for a myriad of depression outcomes (e.g., prospective depressive episodes), approaches typically used in research make it difficult to translate these findings. Using a translational analytic approach and multiwave longitudinal study design, we examined how screening for cognitive vulnerabilities (rumination, dysfunctional attitudes, and attributional style) may improve our ability to identify concurrent depressive episodes, prospective depressive episodes, first lifetime episodes of depression, and recurrent major depressive episodes. There were 473 sixth-grade (early adolescents) and ninth-grade (middle adolescents; AgeM = 13.15, AgeSD = 1.62) students who completed baseline self-report cognitive vulnerability and depressive symptom measures. At baseline and every 6 months for 3 years, pediatric depression interviews were completed by the caregiver and youth. A receiver operating characteristic (ROC) approach was utilized to test our aims. Distinct algorithms best forecasted our depression outcomes. Rumination and attributional style emerged as unique and incrementally valid predictors for prospective episodes after controlling for baseline depressive symptoms. Rumination was the only unique predictor for first lifetime depressive episodes. For recurrent major depression, rumination in early adolescence and attributional style in middle adolescence served as incremental predictors beyond baseline depressive symptoms. Proposed cutoffs and diagnostic likelihood ratios are offered for algorithms for each depression outcome. Assessing cognitive vulnerability represents a feasible method to improve depression screening initiatives. Using an ROC-informed approach can help prevention initiatives better leverage the considerable gains made within developmental psychopathology research.