In a medium bowl, combine together flour, cocoa powder, and salt and mix.
In a separate bowl, using electric mixer, beat softened butter and granulated sugar on high speed until light in color and fluffy. Add in egg and vanilla – continue beating for a couple more minutes. Turn off the electric mixer, add flour-cocoa-salt mixture and then continue beating on low speed until well-combined but without over mixing.
Roll dough into 1-inch balls. Arrange on parchment-lined baking sheets, spacing 2 inches apart. Press a well into a center of each cookie ball using your fingers or a back of a wooden spoon. Then freeze these raw cookies for about 30 minutes.
Bake in the preheated oven at 350 degrees Fahrenheit, and after 7 minutes of baking, take the cookies out and press well into a center of each cookie with the end of a wooden spoon again to make it more pronounced. Then, return the baking sheet to the oven and continue baking for 5-7 more minutes.
Let cookies cool completely. Using a small spoon, put jam/preserves filling into each thumbprint cookie.