Objective: This study assessed a mediational model in which negative automatic thoughts and anxiety sensitivity were hypothesized to mediate the relationship between perfectionism cognitions and depressive and anxiety symptoms. Participants: Participants were undergraduate students from an urban Canadian university. The data were collected from July 2009 to August 2010. Methods: In a cross-sectional evaluation, 992 undergraduate participants completed questionnaires that assessed perfectionism cognitions, negative automatic thinking, anxiety sensitivity, and anxiety and depressive symptoms. Results: Mediational analysis confirmed the role of anxiety sensitivity and negative automatic thoughts in mediating the association between perfectionistic cognitions, anxiety symptoms, and depressive distress. Furthermore, in line with previous studies, nearly a third of students displayed an elevated prevalence of anxiety and depressive symptoms. Conclusions: This study further clarified the associations and mediating relationships among mood states associated with perfectionism.