Background: Depressive symptoms compromise cognitive and self-regulating capacities. Overcoming associated deficits (e.g., attentional bias) demands cognitive effort and motivation. Previous studies on healthy individuals have found cognitive motivation to positively relate to self-regulation and negatively to depressive symptoms. A test of these associations in a clinical sample is lacking. Methods: We assessed cognitive motivation, self-regulation and depressive symptoms by means of well-validated questionnaires in N = 1,060 psychosomatic rehabilitation in-patients before and after treatment. Data were split and analyzed in two steps: We tested previously reported cross-sectional and longitudinal associations of all variables as well as their longitudinal changes in a first sample. Afterward, findings and derived hypotheses were replicated and tested in a second sample. Results: Analyses of both samples confirmed earlier reports on positive associations between cognitive motivation and self-regulation, and negative associations of both with depressive symptoms. While the change in all variables was predicted by their baseline scores, higher baseline cognitive motivation was found to predict stronger improvements in self-regulation, and lower baseline depression scores to predict smaller changes in cognitive motivation and self-regulation. In addition, the change in cognitive motivation partially mediated the association between the changes in depressive symptoms and self-regulation. Conclusion: Based on a large longitudinal data set, the present study expands previous findings and suggests a resource allocation model in which decreasing depressive symptoms lead to a release of capacities benefitting self-regulation directly, and indirectly via cognitive motivation.