Objectives Premenstrual syndrome (PMS) and premenstrual dysphoric disorder (PMDD) involve emotional, behavioral, and physical symptoms; however, there is little understanding of psychological factors that contribute to these disorders. It was hypothesized that rumination, a form of depressive self‐focused attention, is related to premenstrual distress. Method Study 1 involved women (N = 735) meeting criteria for No/Mild PMS, Moderate/Severe PMS, and PMDD using retrospective self‐report. Study 2 involved women (N = 85) meeting diagnostic criteria for PMS or PMDD (i.e., PMD group) and healthy controls (i.e., No PMD group) following 60‐day symptom monitoring. Participants in both studies completed questionnaires of rumination, anxiety sensitivity, and coping styles. Results Rumination was strongly related to premenstrual disorders using both retrospective and prospective reports, as well as both categorical and continuous approaches to classification of premenstrual distress. Conclusions Rumination, a transdiagnostic factor in psychopathology, may contribute to the onset and maintenance of premenstrual distress.