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Mindfulness and ruminative thinking have been shown to mediate the effects of mindfulness-based treatments on depressive symptoms. Yet, the dynamic interplay between these variables in daily life during mindfulness-based treatment has received little attention. The present study focuses on the sequence of daily changes taking place within individuals during a mindfulness-based treatment. Using a replicated single-subject time-series design, we examined the within-person temporal associations between day-to-day changes in mindfulness, repetitive thinking, and depressive symptoms. Study participants were six women with depressive symptoms who filled out diary questionnaires during a mindfulness-based treatment. A separate vector autoregressive (VAR) model was estimated for each participant. Changes in mindfulness and repetitive thinking preceded changes in depressive symptoms in a few of the six participants. We did not find evidence for reverse causality: changes in depressive symptoms did not predict later changes in mindfulness or repetitive thinking in any of the participants. These results are in accordance with the assumed causal chain of change underlying mindfulness-based treatments. Furthermore, all individuals showed moderate to strong concurrent (within-day) associations between the variables. Possible explanations for this finding include that change processes occur within the day or that the daily self-reports of mindfulness, repetitive thinking, and depressive symptoms overlap and reflect a common underlying state of mind.