Cognitive theories of depression propose that biases in executive control may be involved in the development, maintenance, and/or recurrence of depression. Affective set-shifting, defined as the ability to attend to and disengage from emotional aspects of a situation or a stimulus, may be crucial in understanding depression etiology. However, it is unclear if depression is associated with a negative bias in affective set-shifting (i.e., slower shifting from emotional aspects of negative stimuli to non-emotional aspects). In addition, a positive bias in affective set-shifting (i.e., faster shifting from emotional aspects of positive stimuli to non-emotional aspects), which might characterize healthy individuals, may be absent in depression. Furthermore, previous research suggests that depression-related biases may be more pronounced during stressful situations and/or may not be fully activated without stress. Hence, affective set-shifting biases following stress exposure (i.e., post-stress affective set-shifting) might better predict prospective depressive symptoms than baseline (i.e., pre-stress) affective set-shifting. The primary purpose of this study was to evaluate pre- and post-stress affective set-shifting in relation to current and prospective levels of depressive symptoms. Participants (n = 300) first completed the Affective Switching Task (AST) designed to measure biased pre-stress affective set-shifting. Participants then completed a stress-induction procedure, followed by another AST, which assessed biases in post-stress affective set-shifting. Lastly, participants completed a measure that assessed depressive symptoms both during and one month after the laboratory session. As hypothesized, slower shifting from emotional aspects of negative stimuli at baseline (i.e., pre-stress negative affective set-shifting bias) was associated with less decrease in prospective depressive symptoms, whereas slower shifting from emotional aspects of positive stimuli following stress (i.e., post-stress positive affective set-shifting bias) was associated with more decrease in prospective depressive symptoms. Contrary to the hypothesis, affective set-shifting biases were unrelated to baseline depressive symptoms. Furthermore, pre-stress positive affective set-shifting and post-stress negative affective set-shifting were unrelated to follow-up depressive symptoms. This study is the first to evaluate both pre- and post-stress affective set-shifting in relation to depression and suggest that biased affective set-shifting both before and after stress may be associated with depressive symptoms. The theoretical and clinical relevance of the findings, the limitations of the study, and directions for future research are discussed.