In this study, we assumed that competitive anxiety may increase before a tournament (game) and examined the process of the onset of depressive symptoms. We also examined cognitive variables for intervention. The subjects of the study were 603 students enrolled in a sports university. Path analysis showed that threat perception and inference errors increase depressive symptoms through competitive anxiety, and that inference errors directly increase depressive symptoms. Furthermore, it was shown that cognitive control may reduce depressive states directly or through competitive anxiety.