Depression and rumination often co-occur in clinical populations, but it is not clear which causes which, or if both are manifestations of an underlying pathology. Does rumination simply exacerbate whatever affect a person is experiencing, or is it a negative experience in and of itself? In two experiments we answer this question by independently manipulating emotion and rumination. Participants were allocated to sad or neutral (in Experiment 1), or sad, neutral or happy (Experiment 2) mood conditions, via a combination of emotionally evocative music and autobiographical recall. Afterwards, in both studies, participants either ruminated by thinking about self-relevant statements or, in a control group, thought about self-irrelevant statements. Taken together, our data show that, independent of participants' mood, ruminators reported more negative affect relative to controls. The findings are consistent with theories suggesting that self-focus is itself unpleasant, and illustrate that depressive rumination comprises both affective and ruminative components, which could be targeted independently in clinical samples.