This article examines the effects of counterfactual thinking on information processing. We conceptualize counterfactual thinking—a process of mentally undoing the outcome of an event by imagining alternate antecedent states—as a problem-solving process that will increase scrutiny of subsequently encountered information. Results from two studies indicate that measures of persuasion are more sensitive to the quality of message arguments when counterfactual thinking precedes message exposure. This research raises the possibility that counterfactual thinking may be an underappreciated cognitive determinant of ad responses. This research also represents a first attempt at striking a relationship between counterfactual thinking and information processing.