Research indicates that examining failure experiences using an immersed processing style versus a non-immersed, self-distanced open style influences cognitions about the self, motivation, and subsequent depressive symptoms. However, the effect of processing goal failure experiences using these different processing styles have not been adequately incorporated into existing self-regulation theories of depression. In a cross-sectional study, we examined the interactive effects of rumination (versus reflection) and failure to attain promotion goals on depressive symptoms. As predicted, greater levels of promotion goal failure were associated with having more depressive symptoms for individuals who engage in moderate to high levels of rumination. In contrast, among individuals who engage in high levels of self-reflection, promotion goal failure was not associated with an appreciable increase in depressive symptoms. We discuss the implications of these results for self-regulatory theories of depression and treatments for depression.