This study examined the theoretical model derived from Beck’s cognitive theory of depression in two samples of Taiwanese undergraduates. This model hypothesized dysfunctional attitudes as a diathesis-stress component and the cognitive triad as a causal mediation component in the development of depressive symptoms. Moderated mediation analysis was employed to test the theoretical model with two independent samples from Taiwan. One was 248 undergraduates from lower prestige higher education institutes (HEIs); the other was 247 undergraduates from high prestige HEIs. Participants completed the List of Threatening Experiences, the 24-item Dysfunctional Attitude Scale, the Cognitive Triad Inventory and the Beck Depression Inventory. All of the measures are Chinese versions. Statistical analyses indicated that the effect of interaction between negative life events and dysfunctional attitudes on depressive symptoms was not significant in the two samples. However, in the undergraduates of lower prestige HEIs, the interaction of negative life events and dysfunctional attitudes was related to depressive symptoms through the cognitive triad. The result supported that the cognitive triad is the proximal causal mediation component of depressive symptoms, while dysfunctional attitudes are the distal diathesis-stress component in the undergraduates of lower prestige HEIs. The practical implication for cognitive therapy in this population is discussed.