The present study examines the relationships between mindfulness and rumination, repetitive negative thinking, and depressive symptoms, employing a newly developed paradigm for the assessment of mindfulness. Derived from a central exercise of mindfulness-based interventions, 42 undergraduates were asked to observe their breath for about 18 min. Within this time period, they were prompted 22 times at irregular intervals to indicate whether they had lost mindful contact with their breath as a result of mind wandering. The results show negative correlations between the degree of the ability to stay mindfully in contact with the breath and measures of rumination, repetitive negative thinking, and depression. Moreover, positive associations with self-report data of mindfulness and a negative relationship to fear of bodily sensations support the construct validity of our new approach for the assessment of mindfulness. In summary, findings suggest the healthy quality of mindful breathing regarding depression-related processes.