Owing to the potentially devastating effects of trauma-induced depression, explaining the relationship between trauma and depressive symptoms is important. In this study, we measured lifelong exposure to potentially traumatic events and depressive symptoms in 370-female undergraduates. We also measured anxiety, past negative time perspective and dissociation as potential mediators. Trauma exposure and depressive symptoms were related with a small but significant effect size (r = .16). Trauma was not associated with dissociation. We found that past negative time perspective and anxiety were full statistical mediators of this trauma-depressive symptoms relationship. These two mediators combined accounted for all of the variance in that association. Anxiety accounted for more of the variance than past negative time perspective. A proposed explanation is that trauma both affectively elevates anxiety and cognitively creates an enduring focus on the events. Chronic anxiety and a past negative time perspective may lead to depression over time. The clinical implications are possible explanations as to why some treatments work.