Depression is common in people with schizophrenia, but how it might directly contribute to the persistence of psychotic symptoms has rarely been tested. The key aim of the present study was to test whether depression and associated cognitive processes predict the maintenance of persecutory delusions. Three groups of participants were tested at baseline: 60 patients with persecutory delusions in the context of a schizophrenia spectrum diagnosis, 30 patients with depression, and 30 nonclinical controls. They completed interviewer and self-report assessments of depression and paranoia, and measures of six cognitive factors (schematic beliefs, experiential avoidance, autobiographical memory, problem solving, rumination, worry style). The patients with persecutory delusions were then assessed again, six months later. It was found that 50% of the patients with persecutory delusions met diagnostic criteria for major depression. Cognitive processes found to be associated with depression across the groups were negative schematic beliefs about the self, experiential avoidance and rumination, but not autobiographical memory or problem solving. The severity of initial depression in patients with persecutory delusions predicted the persistence of paranoia over six months. A number of cognitive factors also predicted the persistence of persecutory delusions, including negative schematic beliefs about the self, worry, and problem-solving difficulties. In conclusion, depression is common in patients with current persecutory delusions, and it shows similar cognitive features to major depressive disorder. The results of this study indicate that depression and related processes may contribute to the maintenance of paranoia. Trials are warranted of depression-related therapeutic techniques for people with persecutory delusions.