Empathy is a psychological construct comprising a cognitive (i.e., recognizing emotions) and an affective (i.e., responding to emotions) component, each associated with activity in ventromedial and dorsolateral prefrontal cortical regions, respectively. As an aspect of higher order social cognition, deficits in empathy have been linked to executive dysfunction in depression that might underlie a patient’s interpersonal difficulties. However, most studies measure empathy through the Interpersonal Reactivity Index (IRI), which may not accurately capture affective empathy. Critically, prior studies have not examined a potential dissociation between cognitive and affective empathy in depressed individuals. In Study 1, a factor analysis determined the appropriateness of using the IRI to measure affective empathy. Results showed poor model fit with the affective empathy factor. In Study 2, a battery of empathy measures was administered to explore differences in empathic abilities between healthy and depressed individuals. Results revealed lower affective but normal cognitive empathy in depression. We discuss the implications of these findings for depression treatment, with an emphasis on developing a valid measure of affective empathy.