Comorbidity among affective disorders is high. Rumination has been found to mediate cross-sectional and prospective relations between anxiety and depressive symptoms in adolescents and adults. We examined whether rumination and worry, both forms of repetitive negative thinking, also explain the associations between affective disorders. This was studied using a prospective cohort study. In a mixed sample of 2981 adults (persons with a prior history of or a current affective disorder and healthy individuals) we assessed DSM-IV affective disorders (CIDI), rumination (LEIDS-R) and worry (PSWQ). All measures were repeated 2 years and 4 years later. Using structural equation models, we found that baseline rumination and worry partly mediated the association of baseline fear disorders (social anxiety disorder, panic disorder, agoraphobia) with distress disorders (dysthymia, major depressive disorder, generalized anxiety disorder). Moreover, baseline fear disorders predicted changes in distress disorders and changes in worry and rumination mediated these associations. The association between baseline distress disorders and changes in fear disorders was mediated by changes in rumination but not by changes in worry. From these results it can be concluded that repetitive negative thinking is an important transdiagnostic factor. Rumination and worry are partly responsible for the cross-sectional and prospective co-occurrence of affective disorders and may be suitable targets for treatment.