Depression has been linked with impaired executive control and specific impairments in inhibition of negative material. To date, only a few studies have examined the relationship between depressive symptoms and executive functions in response to emotional information. Using a new paradigm, the Affective Shift Task (AST), the present study examined whether depressive symptoms in general, and rumination specifically, are related to impairments in inhibition and set shifting in response to emotional and non-emotional material. The main finding was that depressive symptoms in general were not related to inhibition. Set-shifting impairments were only observed in moderate to severely depressed individuals. Interestingly, rumination was related to inhibition impairments, specifically when processing negative information, as well as impaired set shifting as reflected in a larger shift cost. These results are discussed in relation to cognitive views on vulnerability for depression.