Although exposure to substantial stress has a major impact on the development of depression, there is considerable variability in the susceptibility of individuals to the adverse effects of stress. The personality trait of high anxiety has been identified as a vulnerability factor to develop depression. We propose here a new unifying model based on a series of neurocognitive mechanisms (and fed with crucial information provided by research on the fields of emotion, stress and cognition) whereby individuals presenting a high anxiety trait are particularly vulnerable to develop depression when facing stress and adversity. Our model highlights the importance of developing prevention programs addressed to restrain, in high anxious individuals, the triggering of a dysfunctional neurocognitive cascade while coping with stress