Rejection sensitivity (RS), the disposition to anxiously expect, readily perceive, and overreact to rejection, leads to emotional distress and social pain. Difficulties in emotional regulation (ER) and mentalizing could have an impact on the levels of RS by weakening the regulation associated with rejection situations and biasing the interpretation of mental states. The present study examines whether ER and mentalizing difficulties might constitute key processes in RS and explain the relationship between RS and potentially psychologically traumatic event (PPTE) exposure in a sample of 443 participants (mean age: 27.66 ± 11.63 years; 345 women). Regarding RS group differences, high RS individuals (based on high A-RSQ score) exhibited more ER difficulties reflected in using more maladaptive and less adaptive ER cognitive strategies and more mentalizing difficulties manifested in hypomentalizing than low RS individuals (based on low A-RSQ score). PLS-SEM results demonstrate that ER and mentalizing difficulties explain RS and mediate the relationship between PPTE exposure and RS. These findings highlight the importance of considering difficulties in developing nuanced and more complex models of the mind of the other and/or the self and difficulties in engaging in adaptive ER processes for understanding RS, particularly in individuals exposed to PPTE.