Intensive longitudinal data studies on affective reactivity to daily life stress have used various dimensions of stress. Based on an evidence-based conceptual model of stress, the current study included unpredictability, uncontrollability and unpleasantness, and examined whether and how these predict affective reactivity in depressed and non-depressed individuals in daily life. Participants (27 depressed, 27 non-depressed) completed a diary 3 times a day for a period of 30 days. Multilevel analyses were performed to investigate unpleasantness, uncontrollability and unpredictability of daily events as univariate predictors of negative affect (NA). Multivariable models were composed to determine the optimal combination of stress dimensions, and whether the strength of the predictions differed between the depressed and non-depressed groups. Unpleasantness, uncontrollability and unpredictability each predicted subsequent NA independently. However, a combination of all three dimensions, together with an interaction between unpleasantness and uncontrollability, predicted subsequent NA best. The stress dimensions predicted NA more strongly in the depressed than the non-depressed group. This was mostly accounted for by an increased NA response to unpleasantness. Thus, unpleasantness seems to be the most important aspect of daily stress to distinguish depressed from non-depressed individuals. Nevertheless, for a comprehensive assessment of affective reactivity, a multidimensional model of event stressfulness is recommended.