Background: The purpose of our study is to verify whether elements of cognitive vulnerability to affective disorders may enhance the occurrence of PMS/PMDD. Methods: In total, 293 women with regular cycles took part in the study. The subjects were exposed to failure during the follicular phase or luteal phase, as appropriate, and the attributional style of failure, cognitive triad inventory (CTI) and presence of biased information processing were determined. The mood of the subjects before and after failure was measured, and the depressive mood was screened by CES-D. The occurrence of PMS/PMDD was assessed on the basis of PSST. Results: The women suffering from PMS/PMDD differed from those without PMS in terms of the cognitive triad, the use of positive and negative adjectives when describing themselves and biased information processing. In the luteal cycle phase, considerably greater sadness and irritation were observed in women with PMS/PMDD after experiencing failure, but only in those from the group not taking oral contraceptives. Conclusions: Negative cognitive styles are an important factor in the development of PMS/PMDD. PMDD is similar to major depression regarding cognitive vulnerability. Only in the case of PMDD was biased information processing in the luteal cycle phase recorded.