Disturbances of cognitive flexibility may contribute to difficulties in emotion regulation, which can lead to the emergence of depressive illness. However, there are limited data available as to how stressful experiences influence cognitive flexibility. The purpose of the present research was to examine the contribution of stressful events, including self-reported early-life trauma, on cognitive flexibility, and how disturbances in this regard were related to heightened depressive symptoms and to stress-reactivity. Given that the neutrophin brain-derived neurotrophic factor (BDNF) has been linked to mood, notably depression, the link between a BDNF polymorphism and cognitive flexibility was also examined. In Study 1 (N = 64), an acute psychosocial stressor (Trier Social Stress Test; TSST) was accompanied by enhanced cognitive flexibility, as reflected through greater set-shifting performance on the Wisconsin Card Sorting Task (WCST), and this relationship was mediated by heightened threat appraisal. However, the enhanced set-shifting performance was not apparent among individuals with elevated depressive symptoms. Study 2 (N = 239) demonstrated that, among Met allele carriers for the BDNF Val66Met gene polymorphism, greater frequency of trauma was associated with decreased cognitive, and these relations depended on type of trauma experienced and gender. In Studies 3A, B, and C, a cognitive flexibility questionnaire (CFQ) was developed which identified the ways in which cognitive flexibility might be manifested in stressful situations. The CFQ, which comprised two sub-scales (cognitive control and cognitive resources), exhibited high internal consistency, and was associated with depressive symptoms even after controlling for other measures that have been linked to depression. Finally, in Study 4 (N = 44), it was demonstrated that reduced cognitive flexibility, as assessed by the CFQ, was associated with negative affect and cortisol levels following the TSST. The present findings indicate that the impact of stressful events on cognitive flexibility depends on the nature of the stressor as well as personal characteristics, including gender and genetic disposition. Moreover, the present research further supports the notion that disturbances in fundamental cognitive control processes, including cognitive flexibility, might contribute to the maintenance of negative emotional states and neuroendocrine activation, and might contribute to the evolution of depressive illness.