Background and Objectives: Comorbidity between major depressive disorder (MDD) and alcohol use disorder (AUD) is highly prevalent but reasons for this association are unclear. Rumination may activate metacognitive beliefs that contribute to the development and maintenance of rumination and depression. Negative metacognitions can further lead to other dysfunctional coping strategies (i.e., consumption of alcohol). We examined whether alcohol reduces (state) metacognitions, rumination and other disorder-specific processes in a group of individuals suffering from MDD. Method: In an experiment with three randomized conditions we investigated whether the consumption of alcohol, placebo or no alcohol (orange juice) affects (meta-)cognitions, depressive symptoms and / or psychophysiological variables while participants ruminate. Results: Voluntary rumination increased self-reported sadness, tension and rumination, tensed facial muscles and increased heart rate, but did not affect (state) metacognitions and heart rate variability. The consumption of alcohol did not influence rumination, metacognitions, depressive or psychophysiological measures. Limitations: We recruited a depressed population but excluded pathological alcohol use due to ethical considerations. Conclusions: We found no evidence that alcohol consumption affects rumination, metacognitions and other disorder-specific processes in MDD. However, rumination had a negative effect on various depression-specific processes, although it did not activate (negative state) metacognitions.