Objective: Although cognitive processing therapy (CPT) has strong empirical support as a treatment for posttraumatic stress disorder (PTSD), studies have not directly examined the proposed change mechanisms that underlie CPT—that change in trauma-related cognitions produces change in PTSD and depression symptoms. To improve the understanding of underlying mechanisms of psychotherapeutic change, this study investigated longitudinal association between trauma-related cognitions, PTSD, and depression among veterans receiving CPT during a 7-week residential PTSD treatment program. Method: All 195 veterans met DSM–IV–TR diagnosis for PTSD. The sample was 53% male with a mean age of 48 years. Self-reported race was 50% White and 45% African American. The Posttraumatic Cognitions Inventory was used to assess trauma-related cognitions. The PTSD Checklist and Beck Depression Inventory–II were used to assess PTSD and depression, respectively. Cross-lagged panel models were used to test the longitudinal associations between trauma-related cognitions, PTSD, and depression. Measures were administered at three time points: pre-, mid-, and posttreatment. Results: Change in posttraumatic cognitions (self-blame; negative beliefs about the self) preceded change in PTSD. In addition, (a) change in negative beliefs about the self preceded change in depression, (b) change in depression preceded change in self-blame cognitions, and (c) change in depression preceded change in PTSD. Conclusion: Findings support the hypothesized underlying mechanisms of CPT in showing that change in trauma-related cognitions precedes change in PTSD symptoms. Results suggest that reduction of depression may be important in influencing reduction of PTSD among veterans in residential PTSD treatment.