Objective In this study, we examined the mechanisms of action of complicated grief treatment (CGT), an efficacious psychotherapy for complicated grief. Method We explored 3 putative mediators (guilt/self‐blame related to the deceased, negative thoughts about the future, and avoidance) among treatment completers assigned to either CGT (n = 35) or interpersonal psychotherapy (n = 34) in a previously reported randomized controlled trial. Antidepressant use was examined as a moderator of mediation effects. Results A reduction in guilt/self‐blame, negative thoughts about the future, and avoidance behavior each mediated the relationship between treatment group and complicated grief outcomes. Reduction in avoidance emerged as an independent mediator after controlling for all mediators. Conclusion Reducing avoidance of situations and emotions connected to the loss seems to be a key mechanism of change in CGT. Revising counterfactual thinking around troubling aspects of the death may also play a role in facilitating effective adaptation to loss.