Repetitive negative thought plays an important role in the maintenance of mental health problems following bereavement. To date, bereavement researchers have primarily focused on rumination (i.e., repetitive thought about negative events and/or negative emotions), yet the interest in worry (i.e., repetitive thought about uncertain future events) is increasing. Both cognitive processes potentially lead to poorer adaptation to bereavement by contributing to loss-related avoidance and behavioural avoidance of activities. The current study aims to establish the differential associations of rumination and worry with symptoms of depression and prolonged grief and clarify if avoidance processes mediate the associations of rumination and worry with symptom levels. Four hundred seventy-four recently bereaved adults (82% female) filled out questionnaires assessing rumination, worry, loss-related and behavioural avoidance, and depression and prolonged grief symptoms. Rumination and worry were both uniquely associated with depression and prolonged grief symptoms. Compared with worry, rumination related more strongly to prolonged grief symptoms, whereas correlations of both cognitive styles with depression symptoms did not differ. Loss-related avoidance and behavioural avoidance partially mediated the associations of rumination and worry with prolonged grief symptoms. Behavioural avoidance partially mediated the associations of rumination and worry with depression symptoms. Findings suggest that exposure and behavioural activation may be effective interventions to reduce repetitive thinking and psychopathology after bereavement.