The current experiments tested neural and physiological correlates of worry and rumination in comparison to thinking about neutral events. According to the avoidance model—stating that worry is a strategy to reduce intense emotions—physiological and neurobiological activity during worried thinking should not differ from activation during neutral thinking. According to the contrast avoidance model—stating that worry is a strategy to reduce abrupt shifts of emotions—activity should be increased. To test these competing models, we induced worry and neutral thinking in healthy participants using personal topics. A rumination condition was added to investigate the specificity of changes induced by the mental process. Two experiments were conducted assessing the effects on different response levels: (1) neural activation using fMRI, and (2) physiological response mobilization using startle and autonomic measures. During worry, participants showed a potentiated startle response and BOLD activity indicative of emotional network activation. These data partly support the contrast avoidance model of worry. Both mental processes showed elevated activity in a common network referred to as default network indicating self‐referential activity.