Meta-analyses evaluating the association between the serotonin transporter polymorphism (5-HTTLPR) with neuroticism and depression diagnosis as phenotypes have been inconclusive. We examined a gene–environment interaction on a cognitive vulnerability marker of depression, cognitive reactivity (CR) to sad mood. A total of 250 university students of European ancestry were genotyped for the 5-HTTLPR, including SNP rs25531, a polymorphism of the long allele. Association analysis was performed for neuroticism, CR and depression diagnosis (using a self-report measure). As an environmental pathogen, self-reported history of childhood emotional abuse was measured because of its strong relationship with depression. Participants with the homozygous low expressing genotype had high CR if they had experienced childhood emotional maltreatment but low CR if they did not have such experience. This interaction was strongest on the Rumination subscale of the CR measure. The interaction was not significant with neuroticism or depression diagnosis as outcome measures. Our results show that 5-HTTLPR is related to cognitive vulnerability to depression. Our findings provide evidence for a differential susceptibility genotype rather than a vulnerability genotype, possibly because of the relatively low levels of abuse in our sample. The selection of phenotype and environmental contributor is pivotal in investigating gene–environment interactions in psychiatric disorders.