Cognitive approaches have been very fruitful for the understanding of depression. Cognitive models have inspired current evidence-based treatments of depression while providing useful frameworks to understand the causes of this disorder. However, empirical research in the last years has improved the explanatory power of these models substantially. In this paper we review a number of recent developments of well-established elements of the cognitive models as well as new concepts and variables which have just been incorporated in these models. Thus, we describe conceptual and empirical advancements on the role of negative schemata, attributions, self-esteem, attributional style or memory processes. Furthermore, we also describe new research on the role that processes like a ruminative style of processing or thought suppression mechanisms may have in the onset and maintenance of depression. Finally, based in these new developments, we present a comprehensive model of depression which expands older well-known cognitive models.