Objective: Trauma-focused psychotherapies reduce both posttraumatic stress disorder (PTSD) and co-occurring depression. However, little is known about the relationship between changes in PTSD and depression during treatment. This study examined the association between changes in PTSD and depression during the course of cognitive processing therapy (CPT) and its treatment components. Method: Data were drawn from a dismantling trial investigating the comparative efficacy of the components of CPT (Resick, Galovski, et al., 2008). One hundred twenty-six women (mean age = 36.14 years) from the original randomized intent-to-treat sample (N = 150) who attended at least 1 treatment session were included in this study. Participants diagnosed with PTSD were assigned to 1 of 3 treatment conditions: the full CPT protocol (n = 44), the cognitive therapy component of CPT (n = 39), and the written account component of CPT (n = 43). The majority of the sample self-identified as Caucasian (67%; 29% African American and 4% Other). Primary outcome measures included the Posttraumatic Diagnostic Scale and Beck Depression Inventory-II, administered at 8 time points (baseline, weekly throughout 6 weeks of treatment, and posttreatment). Results: Multilevel regression analyses were conducted to examine relationships between PTSD and depression during treatment. Results indicated that changes in PTSD and depression were strongly related. Multilevel mediation analyses revealed that changes in PTSD and depression occurred concurrently, with lagged analyses providing no evidence that changes in symptoms of 1 disorder preceded changes in the other. Conclusions: Results suggest that changes in PTSD and depression occur contemporaneously during CPT. (Contains 1 table, 1 figure and 3 footnotes.)