Cognitive inhibition is a key mechanism in the regulation of emotion. There is emerging evidence that depression is characterized by deficits in the inhibition of mood-congruent material. These deficits could result in prolonged processing of negative, goal-irrelevant aspects of presented information thereby hindering recovery from negative mood and leading to the sustained negative affect that characterizes depressive episodes. Indeed, it has been suggested that deficits in cognitive inhibition lie at the heart of memory and attention biases in depression, and set the stage for ruminative responses to negative events and negative mood states. A ruminative response style results in a heightened vulnerability to experience episodes of major depression. Recent research has demonstrated that deficient inhibition of negative material is associated with heightened rumination. In this article, we review the depression literature with a focus on studies that investigate cognitive inhibition in depressed participants and in participants who report a history of major depressive episodes. In addition, we summarize neurobiological findings that indicate a strong relation between depression and deficits in inhibition and we take a closer look at the relation of inhibition, rumination and mood regulation.