Depression is among the most prevalent mental health problems. Previous research indicates that depressive symptoms and cognitive regulation processes are differentially associated with political attitudes. Here we build and test a model based on cognitive aspects of depression that provides an explanation for those differential associations. We test this formulation using a novel survey dataset that includes measures of worry and stress due to the COVID-19 pandemic, cognitive regulation processes, and depression. We posit that rumination mediates the association between depression and self-related political attitudes, whereas negativity bias mediates the association between depression and government-related attitudes. We find considerable support for these claims. Our findings elucidate how depression may influence people's perceptions of politics.