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Research shows that sociotropy, autonomy, and self-criticism are cognitive-personality vulnerability styles contributing significantly to the development of depression symptoms, but little is known about the factors that may protect sociotropic, autonomous, and self-critical individuals against mental health problems. The present study examined self-compassion components (i.e., self-kindness, common humanity, and mindfulness) as potential moderators to protect these individuals from developing depression. On the basis of survey data from 345 Chinese adults in Hong Kong, the relationships between cognitive-personality vulnerability styles, self-compassion components, and depression were examined. The results of the present study show that when the effect of gender and the 2 other self-compassion components were controlled, self-kindness and mindfulness could moderate the association between autonomy and depression, and the association between self-criticism and depression, while common humanity could moderate the association between self-criticism and depression. Unexpectedly, interaction between sociotropy and mindfulness was found, with the association between sociotropy and depression being stronger among individuals with high mindfulness than it was with individuals with low mindfulness. These results suggest the differentiating role of the 3 self-compassion components in buffering autonomous and self-critical individuals from depression. Applications of self-compassion and the hypothesized moderation model in future psychological interventions are discussed.