Many attempts have been made to discover and characterize the mechanisms of change in psychotherapies for depression, yet no clear, evidence-based account of the relationship between therapeutic procedures, psychological mechanisms, and symptom improvement has emerged. Negatively-biased thinking plays an important role in the phenomenology of depression, and most theorists acknowledge that cognitive changes occur during successful treatments. However, the causal role of cognitive change procedures in promoting cognitive change and alleviating depressive symptoms has been questioned. We describe the methodological and inferential limitations of the relevant empirical investigations and provide recommendations for addressing them. We then develop a framework within which the possible links between cognitive procedures, cognitive change, and symptom change can be considered. We conclude that cognitive procedures are effective in alleviating symptoms of depression and that cognitive change, regardless of how it is achieved, contributes to symptom change, a pattern of findings that lends support to the cognitive theory of depression. •Various therapeutic procedures produce both cognitive and symptom change.•Cognitive change appears to be a general mechanism of change.•Cognitive mediation studies often violate temporality assumptions.•A framework for research on cognitive mediation is proposed.