The causal link between political trust and democratic performance has been assumed rather than established. Building on research on political trust as related to regime legitimacy and on the evaluative nature of political trust, we formulate hypotheses about the effect of political trust on democracy and of democracy on political trust, both with regard to overall levels of trust in societies, as well as trust by education and age groups. We test these hypotheses with cross-lagged models applied to country time series of political trust from 26 European countries between 1991 and 2019, and with two democracy indicators, from the Varieties of Democracy and the Democracy Barometer projects. We find evidence of effects of democracy on trust and vice versa, as well as of differences in the effects of democracy on political trust among different education and age groups. The results are sensitive to the choice of the democracy indicator as well as the lag length, which points to the need of examining different reasonable combinations of indicators and nags in this kind of analysis.