CNBC's Jim Cramer said Thursday that Wall Street should not assume a recession is on the horizon.

"This isn't 2008," Cramer exclaimed, one day after the Dow Jones Industrial Average dropped 800 points, or 3%, in its worst session of the year, and the bond market flashed its strongest recession signal yet with the inversion of the 2-year Treasury yield briefly going higher than the 10-year yield.

"This is not a train wreck," Cramer said on "Squawk on the Street." This time around, he stressed, it's not concern over consumer confidence, credit or derivatives that's causing markets to fall as had been the case during the 2008 financial crisis and subsequent Great Recession.

To bolster his argument, Cramer cited former Federal Reserve Chair Janet Yellen who told Fox Business on Wednesday that markets may be wrong in trusting the yield curve inversion as a key recession indicator.

"Historically, it has been a pretty good signal of recession, and I think that's when markets pay attention to it. But I would really urge that on this occasion it may be a less good signal," Yellen said. "The reason for that is there are a number of factors other than market expectations about the future path of interest rates that are pushing down long-term yields."

On Thursday, stocks were getting a bounce before backing off again. Investors were still buying bonds, which inversely sent yields even lower. In early trading, the 30-year Treasury yield dropped below 2% for the first time ever.

Cramer said that such a level on the 30-year yield is not deserved, suggesting, as he has in the past, that the economic data is not pointing to a recession.