Borderline personality disorder (BPD) and major depressive disorder (MDD) share numerous features, including dysphoric affect, irritability, suicidality, and a heightened sensitivity to perceived interpersonal rejection. However, these disorders are associated with divergent profiles of reactivity to rejection: Individuals with MDD are more likely to respond with withdrawal and isolation, and those with BPD appear to respond with increased approach behaviors and greater hostility. Potential mechanisms underlying these divergent patterns of response have not been elaborated. The goal of the present study was to assess whether prefrontal cortical asymmetry is associated with these behavioral profiles. EEG alpha activity was recorded at baseline and after individuals with BPD, MDD and healthy controls (HCs) participated in a rejection task. Although no differences were found at baseline, results demonstrated that following rejection, individuals with BPD showed greater left cortical activation, consistent with approach motivation, whereas those with MDD showed greater right cortical activation, consistent with withdrawal motivation. HCs evidenced a more balanced cortical profile, as hypothesized. Although BPD and MDD are highly comorbid, are easily confused, and are phenomenologically similar in a number of ways, individuals with these two disorders respond in very different ways to perceived rejection.