The aim of this study was to test if negative cognitive triad and subjective pain sensitivity mediate the relationship between known risk factors (trauma and stress) and the symptoms of premenstrual disorders (premenstrual syndrome [PMS] and premenstrual dysphoric disorder [PMDD]) measured both retrospectively and prospectively. The study was divided into two stages: a cross‐sectional (N= 228) and a prospective diagnosis (N= 90) parts. Correlation and mediation analyses were performed. Both variables mediated the association of trauma and stress with retrospectively measured premenstrual symptoms (mediation between trauma and premenstrual symptoms through depressive triad was full). In the sample of prospectively diagnosed individuals, again, both negative cognitive triad and pain sensitivity mediated the relationship between trauma and PMS/PMDD symptoms partially, and there was full mediation between baseline stress level and premenstrual symptomatology. However, for the mean stress level during the prospective diagnosis phase, only pain sensitivity was a significant, partial mediator. The results suggest that depressive cognitive triad and subjective pain sensitivity may play an important role in the development and maintenance of premenstrual disorders. These findings can contribute to the improvement of PMDD and PMS treatment, emphasising the importance of pain management and addressing core beliefs in psychotherapy of premenstrual disorders.