There is good evidence that psychological treatments can be effective in reducing depression. However, effective treatments often differ considerably in the procedures they include and in their underlying rationales. Thus, the nature of their central effective therapeutic processes is unclear. It is proposed that ‘depression about depression’, arising from a reciprocal relationship between cognitive processing and the depressed state, is frequently an important factor maintaining depression. It is suggested that effective treatments operate, at least in part, by modifying this factor. Evidence from a trial of cognitive therapy consistent with this hypothesis is presented.