The purpose of this study was to explore the effect of dichotomous thinking on depression. We attempted to test the following hypotheses: 1) dichotomous thinking increases depression, and 2) dichotomous thinking has two routes to increase depression—direct, associative processing, and indirect, reflective processing. Two hundred Japanese college students (Males: 107, Females: 93, M age= 20.02 ± 1.42) were asked to complete the Dichotomous Thinking Inventory, which consists of three subscales: dichotomous belief, profit-and-loss thinking, and preference for dichotomy; the Kessler 6 Distress Scale; and the Japanese version of the Rumination-reflection Questionnaire. We conducted structural equation modelling to test the hypotheses. The results supported the hypotheses and indicated that dichotomous thinking increased depression. There were two different routes: dichotomous belief directly increased depression and profit-and-loss thinking indirectly increased depression by way of rumination. There are some implications of the findings. This study suggests that cognitive distortions might causes depression from two paths and practical interventions might also have two different routes or approaches to depression.