Depression and anxiety are common, highly co-morbid conditions associated with a range of learning and decision-making deficits. While the computational mechanisms underlying these deficits have received growing attention, the transdiagnostic vs. diagnosis-specific nature of these mechanisms remains insufficiently characterized. Individuals with affective disorders (iADs; i.e., depression with or without co-morbid anxiety; N = 168 and 74, respectively) completed a widely-used decision-making task. To establish diagnostic specificity, we also incorporated data from a sample of individuals with substance use disorders (iSUDs; N = 147) and healthy comparisons (HCs; N = 54). Computational modeling afforded separate measures of learning and forgetting rates, among other parameters. Compared to HCs, forgetting rates (reflecting recency bias) were elevated in both iADs and iSUDs (p = 0.007, η² = 0.022). In contrast, iADs showed faster learning rates for negative outcomes than iSUDs (p = 0.027, η² = 0.017), but they did not differ from HCs. Other model parameters associated with learning and information-seeking also showed suggestive relationships with early adversity and impulsivity. Our findings demonstrate distinct differences in learning and forgetting rates between iSUDs, iADs, and HCs, suggesting that different cognitive processes are affected in these conditions. These differences in decision-making processes and their correlations with symptom dimensions suggest that one could specifically develop interventions that target changing forgetting rates and/or learning from negative outcomes. These results pave the way for replication studies to confirm these relationships and establish their clinical implications.