Providing care for a relative with dementia is considered to be a chronic stressor that has been linked to negative mental health consequences for caregivers. A theoretical model was developed and tested to assess the degree to which ambivalence and guilt feelings contribute to caregivers' depressive symptomatology. Participants included 212 dementia family caregivers. In addition to ambivalence and guilt feelings, sociodemographic characteristics, behavioural and psychological symptoms of dementia, and depressive symptomatology were assessed. Hypotheses derived from the stress and coping model were tested using path analysis. The analysed model showed an excellent fit to the data. In total, 35% of the variance in depressive symptomatology was explained by the assessed variables. Although significant correlations were obtained between frequency and appraisal of behavioural and psychological symptoms of dementia and depression, the obtained model suggests that this effect was mediated through ambivalence. In addition, ambivalence had an indirect effect on depression. The association of ambivalence with depression was explained through feelings of guilt; that is, respondents who reported ambivalent feelings were more likely to experience guilt, leading in turn to greater depressive symptomatology. The findings suggest that dementia caregivers' ambivalence and guilt feelings are relevant for understanding their depressive symptomatology. These factors should be addressed in psychological interventions with caregivers.