The aim of this study was to determine if learned helplessness, self-efficacy, and cognitive distortions would predict depression in a sample of 80 individuals with multiple sclerosis (MS) and 80 individuals with a spinal cord injury (SCI). As MS and SCI usually present with disparate disease courses and etiologies, a secondary objective was to determine if individuals with MS would exhibit greater levels of helplessness, cognitive distortions, and depression and lower levels of self-efficacy than those with SCI. Results indicated that helplessness and self-efficacy significantly predicted depression for both the MS and SCI groups after controlling for confounding variables. Cognitive distortions had no independent effect, indicating that cognitive distortions may have caused feelings of helplessness and low self-efficacy and, in this way, had indirect effects on depression. The MS group exhibited significantly greater levels of depression and helplessness and significantly lower levels of self-efficacy than the SCI group. It was hypothesized that it may have been the combination of an unpredictable course of disease activity and the possibility of being affected by MS in many different ways that produced greater feelings of depression, helplessness, and low self-efficacy in the MS group.