Mindfulness based cognitive therapy (MBCT) is a non-pharmacological intervention to reduce current symptoms and to prevent recurrence of major depressive disorder. At present, it is not well understood which underlying mechanisms during MBCT are associated with its efficacy. The current study (n = 130) was designed to examine the roles of mindfulness skills, rumination, worry and affect, and the interplay between those factors, in the mechanisms of change in MBCT for residual depressive symptoms. An exploratory but systematic approach was chosen using Sobel-Goodman mediation analyses to identify mediators on the pathway from MBCT to reduction in depressive symptoms. We replicated earlier findings that therapeutic effects of MBCT are mediated by changes in mindfulness skills and worry. Second, results showed that changes in momentary positive and negative affect significantly mediated the efficacy of MBCT, and also mediated the effect of worry on depressive symptoms. Third, within the group of patients with a prior history of ≤ 2 episodes of MDD, predominantly changes in cognitive and to a lesser extent affective processes mediated the effect of MBCT. However, within the group of patients with a prior history of ≥ 3 episodes of MDD, only changes in affect were significant mediators for the effect of MBCT. Trail Registration: Nederlands Trial Register NTR1084