The aim of this study was to gain a greater understanding of the five cognitive processes from the cognitive model of insomnia, negative automatic thoughts, and time in bed as outcomes and potential mediators of cognitive behavioral therapy for insomnia (CBT-I), in a sample with insomnia and depressive symptomatology. Sixty-four participants were randomized to receive either CBT-I or an active control (relaxation training: RT) in groups during four biweekly sessions. Insomnia, depressive severity, and the potential processes of change were measured pre-, mid-, and post-treatment. CBT-I was associated with greater reductions of dysfunctional beliefs about sleep, sleep-related safety behaviors, and time in bed compared to RT. Mid-treatment dysfunctional beliefs about sleep was the only process that mediated between CBT-I and outcomes on insomnia and depressive severity, respectively. The relationships were reciprocal. Dysfunctional beliefs about sleep may be a transdiagnostic process of both insomnia and depression.