If performance goals (i.e., motivation to prove ability) increase children's vulnerability to depression (Dykman, 1998), why are they overlooked in the psychopathology literature? Evidence has relied on self-report or observational methods and has yet to articulate how this vulnerability unfolds across levels of analysis implicated in stress–depression linkages; for example, hypothalamic–pituitaryadrenal axis (HPA), sympathetic nervous system (SNS). Utilizing a multiple-levels-of-analysis approach (Cicchetti, 2010), this experimental study tested Dykman's goal orientation model of depression vulnerability in a community sample of preadolescents (N = 121, Mage = 10.60 years, Range = 9.08–12.00 years, 51.6% male). Self-reports of performance goals, attachment security, and subjective experience of internalizing difficulties were obtained in addition to objective behavioral (i.e., task persistence) and physiologic arousal (i.e., salivary cortisol, skin conductance level) responses to the Trier Social Stress Test (TSST) and two randomly assigned coping conditions: avoidance, distraction. Children with performance goals reported greater internalizing difficulties and exhibited more dysregulated TSST physiologic responses (i.e., HPA hyperreactivity, SNS protracted recovery), yet unexpectedly displayed greater TSST task persistence and more efficient physiologic recovery during avoidance relative to distraction. These associations were stronger and nonsignificant in the context of insecure and secure attachment, respectively. Findings illustrate a complex matrix of in-the-moment, integrative psychobiological relationships linking performance goals to depression vulnerability.