Depression is associated with increased cardiovascular risk in acute coronary syndrome (ACS) patients, but some argue that elevated depression is actually a marker of cardiovascular disease severity. Therefore, disease indices should better predict depression than established theoretical causes of depression (interpersonal life events, reinforcing events, cognitive distortions, type D personality). However, little theory-based research has been conducted in this area. In a cross-sectional design, ACS patients (n = 336) completed questionnaires assessing depression and psychosocial vulnerabilities. Nested logistic regression assessed the relative contribution of demographic or vulnerability factors, or disease indices or vulnerabilities to depression. In multivariate analysis, all vulnerabilities were independent significant predictors of depression (scoring above threshold on any scale, 48%). Demographic variables accounted for <1% of the variance of depression status, with vulnerabilities accounting for significantly more (pseudo R² = 0.16, χ²(change) = 150.9, df = 4, p < 0.001). Disease indices accounted for 7% of the variance in depression (pseudo R² = 0.07, χ² = 137.9, p < 0.001). However, adding the vulnerabilities increased the overall variance explained to 22% (pseudo R² = 0.22, χ² = 58.6, df = 4, p < 0.001). Theoretical vulnerabilities predicted depression status better than did either demographic or disease indices. The presence of these proximal causes of depression suggests that depression in ACS patients is not simply a result of cardiovascular disease severity.