Psychotherapists have long questioned what mediating processes are linked to outcome of psychotherapy. Few studies examining this question have assessed within-person changes in the process outcome relationship over time. The present study examined changes in cognition and metacognition over the course of therapy using a dataset from a randomized controlled trial comparing Metacognitive therapy (MCT) and Cognitive–behavioral therapy (CBT). The sample included 74 patients measured on process and symptom instruments weekly throughout therapy. Multilevel longitudinal models (sessions nested within patients) were used to examine the relationship between metacognition, cognition, and anxiety. Main effects of metacognition and cognition on anxiety and the interaction with treatment, as well as the reciprocal relationships, were investigated. The results indicate a main effect of both cognitions and metacognitions on predicting anxiety. However, there was no interaction with treatment condition. The reciprocal relationship of anxiety on metacognitions was larger in MCT compared with CBT. This is the first study documenting within-person effects of both cognitions and metacognitions on anxiety over the course of therapy. Implications for therapy are discussed.