Rumination has featured in psychological models of depression whereas worry is considered to be an important feature of anxiety disorders, particularly generalized anxiety disorder. Similarities between these two types of processes have led researchers to compare them and investigate the relationships between rumination, worry, depression, and anxiety. However, most studies have recruited non-clinical samples. This study aimed to examine the relationship between rumination and worry through joint exploratory factor analysis of measures of rumination (the Ruminative Response Scale) and worry (the Penn State Worry Questionnaire) in a sample of 216 participants (183 women and 33 men) who met DSM-IV criteria for depression on the Inventory to Diagnose Depression. The results suggested that rumination and worry can be distinguished in individuals with depression, as items from the two measures loaded on separate factors. This is consistent with Wells and Matthews’ (1994, Attention and emotion : A clinical perspective. Hove, East Sussex: Erlbaum) suggestion that different forms of perseverative negative thinking are associated with different forms of psychopathology. The study is limited by reliance on a self-report measure of depression and by lack of assurance that the sample consisted of participants with pure major depressive disorder, which future studies need to address.