Repeated experiences with major depressive disorder (MDD) may strengthen associations between negative thinking and dysphoria, rendering negative cognition more accessible and pronounced with each episode. According to cognitive theory, greater negative cognition should lead to a more protracted episode of depression. In this study of 121 adults with MDD, number of previous episodes was associated with slower change in depression across inpatient and outpatient treatment. Further, although pretreatment negative cognition and pretreatment family impairment both uniquely predicted slower change in depressive symptoms, only negative cognition mediated the association between depression history and depression change. Findings suggest that repeated MDD episodes are specifically associated with increased negative cognition, which in turn contributes to a more pernicious course of symptom change during treatment for depression.