Psychotherapy is a complex, multilayered process with the potential to bring about changes at multiple levels of functioning, from the neurobiology of the brain to the individual's role in the social world. Although studies of the mechanisms by which psychotherapy leads to change continue to appear, there remains much to be learned about how psychological interventions work. To guide explorations of how and for whom particular treatment approaches lead to change, researchers can rely on theory to identify potential loci for change and on translational research methods to integrate basic behavioral science and neuroscience with clinical science. In this article, we describe research linking individual differences in the self‐regulation of personal goal pursuit with the etiology and treatment of mood disorders. The research draws upon regulatory focus theory as a model of self‐regulation and on microintervention designs—controlled laboratory investigations of a specific therapeutic technique—to generate and test hypotheses about how psychological interventions can help to reverse maladaptive self‐regulatory processes.