Chronotypes have been associated with psychopathology. The eveningness chronotype has been consistently linked with depressed states or depressive disorder, but the underlying mechanism remains unclear. Prior studies have shown associations between chronotype and personality traits that are linked to depression (e.g. neuroticism), but other psychological vulnerability factors have not been previously investigated in relation to chronotypes. The aim of this study was to examine the association between chronotypes, depression and psychological risk factors of depression (namely, cognitive reactivity and worry), in a large cohort of depressed patients and healthy individuals. We used data from the Netherlands Study of Depression and Anxiety (n = 1654), which includes 1227 clinically diagnosed individuals with a lifetime diagnosis of depression and 427 healthy controls. We assessed cognitive reactivity (Leiden Index of Depression Sensitivity-Revised) and trait worry (Penn State Worry Questionnaire). We controlled for sociodemographic factors as well as for insomnia and neuroticism. We found that the evening type is associated with higher cognitive reactivity scores, especially with increased rumination. Cognitive reactivity also mediated the relationship between chronotype and depression status, even when controlling for neuroticism and insomnia. Trait worry was not associated with chronotype. Our findings show that depressogenic cognitions are more prevalent in evening types and perhaps mediate the association between chronotype and depression. Further prospective research is needed to determine the timeline of the association. Nevertheless, results imply that targeting depressogenic cognitive processes, perhaps in combination with chronotherapeutic treatments, may be particularly useful in evening types.