One aspect of higher order social cognition is empathy, a psychological construct comprising a cognitive (i.e., recognizing emotions) and an affective (i.e., responding to emotions) component. Empathy deficits have been linked to executive and emotion regulation 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, we developed a behavioral measure of empathy, and examined differences in empathic processing as it relates to depression and ruminative thought. Results revealed differences in empathy between depressed and healthy controls, as well as differences by level of rumination. We discuss the implications of these findings for depression treatment.