Abstract Women who experience pregnancy loss are at increased risk of psychological distress, including post-traumatic stress disorder (PTSD) and depression. Despite the substantial evidence base for trauma-focused cognitive behavioural therapy (CBT) for PTSD, there is limited research on this specific type of trauma, as well as a dearth of research exploring treatment for co-morbid PTSD and depression. This study used a single case experimental design to assess the efficacy of sequential CBT for treating PTSD and depression in a primary care setting in the United Kingdom. Results demonstrate a reduction in scores on the PCL-5 following trauma-focused CBT, but not a clinically significant reduction in depression scores. This write-up reflects on the effectiveness of sequential treatment and suggests alternative approaches. Future directions for research are also given. Dedication: The authors dedicate this paper to all parents who have experienced pregnancy or baby loss. Key learning aims (1) To gain an understanding of some of the challenges in delivering CBT for trauma related to pregnancy loss. (2) To reflect on treatment of co-morbid PTSD and depression through flexible use of evidence-based treatment, and consider alternative approaches to sequential treatment. (3) To consider the impact of grief in formulation and treatment.