In the current study, we examined the postulation that rumination makes it difficult for depressed individuals to learn the exact probability that different stimuli will be associated with punishment. To do so, we induced rumination or distraction in depressed and never-depressed participants and then measured punishment and reward sensitivity with a probabilistic selection task. In this task, participants first learn the probability that different stimuli will be associated with reward and punishment. During a subsequent test phase in which novel combinations of stimuli are presented, participants’ sensitivity to reward is tested by measuring their tendency to select the stimuli that were most highly rewarded during training, and their sensitivity to punishment is tested by measuring their tendency to not select the stimuli that were most highly punished during training. Compared with distraction, rumination led depressed participants to be less sensitive to the probability that stimuli will be associated with punishment and relatively less sensitive to punishment than reward. Never-depressed participants and depressed participants who were distracted from rumination were as sensitive to reward as they were to punishment. The effects of rumination on sensitivity to punishment may be a mechanism by which rumination can lead to maladaptive consequences.