Social anxiety and depression are internalized disorders that are among the most common mental disorders in the general population. Although these two psychopathological states fall into separate categories of disorders, their very high comorbidity implicates that there is interaction between them, ie. they have an effect on each other. Both of these disorders have a significant negative consequences on the individuals in terms of everyday functioning and life satisfaction. Social anxiety and depression, partly, have thier etiologic interpretation in inadequate emotional regulation as well as in the use of inadequate and distorted cognitive patterns that act unconsciously, so called, automatic thoughts. The aim of this study was to determine the relationship between cognitive (automatic thoughts) and emotional (emotion regulation) dimensions, their relationship with social anxiety and depression and their contribution to explanation of symptoms expression of both disorders. 173 students (123 girls, 50 boys) from different Croatian universities participated in this study, average age of 21,5 years. Participants were asked to complete Social Anxiety Questionnaire, Depression Anxiety Stress Scales, Automatic Thoughts Questionnaire and Cognitive Emotion Regulation Questionnaire. The results showed the existence of significant gender differences only in social anxiety. Women accomplished significantly higher results than men, which implies that they are more socially anxious. Furthermore, it was found significant positive correlation between all variables that are used in this research, except between depression and subscale refocus on planning and between automatic thoughts and the same subscale. Also, it was found that significant predictors for the criterion variable of social anxiety were automatic thoughts and subscale of rumination, and for the criterion variable of depression, the only significant predictor were automatic thoughts.