To investigate the function of cognitive control (Bandura, 1977b), a newly developed Cognitive Control Scale, and the Center for Epidemiological Studies Depression Scale (CES-D; Radloff, 1977) were completed by two samples of female university students (Sample 1: N = 141, Sample 2: N = 155). To examine the construct validity of the Cognitive Control Scale, we also administered the General Self-Efficacy Scale (Sakano & Tohjoh, 1986) and the Generalized Self-Efficacy Scale (Narita et al., 1995) to Sample 2. Exploratory factor analysis of the Cognitive Control Scale using data from both samples (N = 289: observations with no missing values) revealed two factors: “analysis of thought and behavior” and “reframing”. The two-factor structure was validated by confirmatory factor analysis. Scores on the Cognitive Control Scale were correlated with the General Self-Efficacy Scale and the Generalized Self-Efficacy Scale, demonstrating the construct validity of the new scale. We examined the relationship between cognitive control and depression using covariance structure analysis (N=287: observations with no missing values). Results indicated (with the path coefficients of influence): (1) “Analysis of thought and behavior ”enhanced “reframing” (.54): (2) “Analysis of thought and behavior” enhanced depression (.52): (3) “Refraining”reduced depression (=.57). These results suggest that “reframing” played an important role in reducing depression and “analysis of thought and behavior” reduced depression indirectly by promoting “reframing”, while it enhanced depression directly. The model explained 28% of the variance in depression, indicating that Cognitive Control is an important factor regulating depression.