Negative social expectations are a key symptom of depression. It has been suggested that individuals with depressive symptoms tend to maintain these expectations by devaluing new experiences that do not fit prior expectations. However, our understanding of the role of such "immunizing" cognition in response to unexpected social feedback in depression, as well as the cognitive mechanisms involved, remains limited. This study investigated the association between depressive symptoms and the cognitive processing of unexpected positive or negative social feedback using a novel, video-based approach featuring naturalistic social stimuli in a subclinical online sample (N = 155). We also examined how surprise levels, feedback acceptance and immunizing cognition relate to other cognitive processes, such as attributional style and rumination, using cross-sectional network analyses. Robust multiple linear regression analyses revealed that depressive symptoms were associated with higher surprise levels (R2adj. = .27), lower feedback acceptance (R2adj. = .19), and higher levels of immunizing cognition (R2adj. = .09) in response to unexpected positive social feedback, but only partially to unexpected negative social feedback. The network analysis suggested that self-efficacy expectations for coping with negative feelings and acceptance of positive social feedback had the strongest expected influence on the different cognitive processes. Our study highlights the challenges that individuals with depressive symptoms face in utilizing positive social feedback to modify negative expectations. For clinicians, our findings suggest the importance of promoting acceptance of positive social feedback, while simultaneously inhibiting immunizing cognition and avoiding the use of overly positive feedback.