Neuroticism, is considered a vulnerability factor for depression and anxiety but the mechanism by which this vulnerability is increased is unknown. Rumination is considered a psychological vulnerability for depression and anxiety. The current study sought to examine the mediational effects of different components of rumination (i.e., rumination on sadness, symptom-based rumination, rumination on causes of sadness) in the relationships between neuroticism and symptoms of depression and anxiety in a sample of non-clinical undergraduates (N = 192). In line with the expectations, rumination on sadness was associated with more symptoms of depression and anxiety, while rumination on causes of sadness was related to fewer symptoms of depression but not anxiety. However, symptom-based rumination was not associated with depression or anxiety scores when controlling for the other two rumination factors. Furthermore, rumination on sadness partially mediated the relation between neuroticism and symptoms of depression and anxiety. Rumination on causes of sadness was found to partially mediate the relationship between neuroticism and symptoms of depression but not anxiety, indicating that this component of rumination might be characteristic for depressive symptomatology. The results are discussed in the light of current theories, previous research, and recent treatment developments. Clinical implications and suggestions for future research are provided.