Making negative inferences for negative events, ruminating about them, and retrieving negative aspects of memories have all been associated with depression. However, the causal mechanisms that link negative inferences to negative mood and the interplay between inferences, rumination, and memory have not been explored. In the current study, we used a cognitive-bias modification (CBM) procedure to train causal inferences and assessed training effects on ruminative thinking, memory, and negative mood among people with varying levels of depression. Training had immediate effects on negative mood and rumination but not after recall of a negative autobiographical memory. Note that training affected memory: Participants falsely recalled inferences presented during the training in a training-congruent manner. Moreover, among participants with high levels of depression, training also affected causal inferences they made for an autobiographical memory retrieved after training. Our findings shed light on negative cognitive cycles that may contribute to depression.