There is evidence that anxiety precedes the onset of depression and that rumination contributes to this risk pathway in adolescence. This study examined inflammatory biomarkers as mediators in a risk model of depressive symptoms secondary to anxiety symptoms among adolescents who ruminate. A sample of 140 adolescents (52% female, 54% African American, 40% Caucasian, 6% biracial, mean age at T1 = 16.5 years, SD = 1.2 years) provided blood samples on two visits (T1 and T2; mean time between T1 and T2 = 13.5 months, SD = 5.9 months). Self-report anxiety, depression, and rumination measures were given at T1 and the depression measure was given again at a third visit (T3, mean months since T1 = 26.0 months, SD = 9.0 months). Higher anxiety predicted more interleukin-6, but not more C-reactive protein, for adolescents with high levels of rumination. Moderated mediation analyses (N for analysis after removing cases with missing data and outliers = 86) indicated that interleukin-6, but not C-reactive protein, at T2 mediated the relationship between anxiety symptoms at T1 and depressive symptoms at T3, conditional on rumination. Anxiety and rumination interacted such that, as rumination increased, anxiety predicted greater inflammation and depressive symptoms. These results demonstrate that established cognitive vulnerabilities for the development of depressive symptoms secondary to anxiety symptoms in adolescence might indirectly operate though biological mechanisms such as inflammation. In addition to highlighting risk factors and potential treatment targets for depression, this study suggests a potential biological mechanism underlying the effects of psychotherapies that reduce rumination on negative affect (e.g., cognitive behavioral therapy).