This study aims to examine the relationships between the behavioral inhibition system (BIS)/behavioral activation system (BAS), depression, cognitive flexibility, and alexithymia, and to determine the mediator role of cognitive flexibility and alexithymia in the relationship between BIS/BAS and depression. Data were collected from a community sample, consisting of 1,275 people, 904 women (70.90%) and 371 (29.10%) men, aged 18–65 years. It was detected that the whole variables in this research were interrelated. Additionally, for the mediation analyses, two significant models in which were determined the mediator role of cognitive flexibility and alexithymia in the relationship between the dimensions of BIS‐Fear and BAS‐Reward and depression were created. Consequently, high BIS‐Fear and low BAS‐Reward were associated with susceptibility to depression through decreased cognitive flexibility and increased alexithymia. Moreover, it may be possible to identify which subdimensions of alexithymia and cognitive flexibility play a role in the relationship between depression and reward/punishment systems and which of these are risk factors via the models tested in this study. In this way, clinical interventions for the factors that are both associated with depressive symptoms and mediators for depression can be planned and this can help to achieve effective results in the therapy process.