The purpose of this research was to explore the issue of the psychological aftermaths of traumatic events in women. According to the existing body of evidence, women suffer more often than men from mental health problems as a result of a traumatic event—one of the explanations for this is that women experience sexual trauma more frequently and this type of trauma causes more severe negative consequences. Therefore, the main aim of this research was to compare the aftermaths of sexual and non‐sexual traumatic events in women. Only traumatic events in adulthood were taken into consideration and were divided into two categories: recent events (previous two years) and those of an earlier occurrence. Depression and low level of self‐esteem were included in the research model as possible consequences of traumatic events. A total of 273 women from Poland took part in a questionnaire survey. As hypothesized, in the case of recent events, participants who experienced a sexual trauma showed a higher level of depression and lower level of self‐esteem compared with those subjects, who experienced a non‐sexual trauma or did not experience a traumatic event at all. However, this effect was not observed in the case of events of earlier occurrence. Copyright © 2016 John Wiley & Sons, Ltd. Key Practitioner Message Relations between traumatic experiences and the level of depression and self‐esteem in women were demonstrated. Women who experienced sexual trauma showed higher levels of depression and lower levels of self‐esteem than women who experienced other types of trauma. Time of the occurrence of the traumatic events matters: the relations between traumatic events, depression and self‐esteem were demonstrated in the case of the events that occurred within the last two years.