© 2015 Clasen et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Cognitive theories of depression suggest that mood-reactive self-esteem, a pattern of cognitive reactivity where low self-esteem is temporally dependent on levels of sadness, represents vulnerability for depression. Few studies have directly tested this hypothesis, particularly using intensive data collection methods (i.e., experience sampling) required to capture the temporal dynamics of sadness and self-esteem as they unfold naturally, over time. In this study we used participants' smartphones to collect multiple daily ratings of sadness and self-esteem over three weeks, in the real world. We then applied dynamic factor modeling to explore theoretically driven hypotheses about the temporal dependency of self-esteem on sadness (i.e., mood-reactive self-esteem) and its relationship to indices of depression vulnerability both contemporaneously (e.g., rumination, sad mood persistence) and prospectively (e.g., future symptomatology). In sum, individuals who demonstrated mood-reactive self-esteem reported higher levels of rumination at baseline, more persistent sad mood over three weeks, and increased depression symptoms at the end of three weeks above and beyond a trait-like index of self-esteem. The integration of smartphone assessment and person-specific analytics employed in this study offers an exiting new avenue to advance the study and treatment of depression.