The mechanisms of efficacy in mindfulness-based interventions for depression and anxiety are not fully understood. To clarify these mechanisms, we tested the hypotheses that mind-wandering, daydreaming, cognitive fusion, and experiential avoidance will decrease through mindfulness group therapy, and this decrease will correlate with improvements in depression and anxiety. Participants self-reported depression and/or anxiety (<italic>N</italic> = 28) took part in an 8-week mindfulness group therapy program. They were assessed using self-report scales at pre- and post-intervention, and at 2-month follow-up. Results indicated that depression and trait-anxiety decreased between pre- and post-intervention with moderate effect sizes, which were maintained at follow-up. Mind-wandering and cognitive fusion also decreased between pre- and post-intervention with small to moderate effect sizes, and maintained at follow-up. The decreases in mind-wandering and cognitive fusion moderately correlated with improvements in depression and anxiety, suggesting that decreases in mind-wandering and cognitive fusion might underlie efficacious mechanisms of mindfulness group therapy.