Although personality disorder (PD) comorbidity has been associated with poor treatment outcome in major depressive disorder (MDD), little is known about mechanisms mediating this link. Converging evidence suggests that maladaptive cognitive patterns, particularly in interaction with stressors, might lead to poor treatment outcome in MDD subjects with PD pathology. The goal of this study was to test the role of PD comorbidity, cognitive vulnerability, and perceived stress in treatment outcome in MDD. Three hundred eighty-four MDD outpatients were enrolled in an 8-week open-label treatment of fluoxetine. Structural equation modeling and path analyses revealed that the effect of PD vulnerability on treatment outcome was fully mediated by increased pretreatment cognitive vulnerability and depression severity, which led to increased stress perception after treatment and poorer antidepressant response. Depressogenic cognitions might be continuously activated by chronic distress in MDD subjects reporting axis II pathology, leading to stress exacerbation and eventually poorer treatment outcome.