Previous research has found that subtle reminders of negative stereotypes about one's group can lead individuals to underperform on stereotype-relevant tests (e.g., women in math, ethnic minorities on intelligence tests). This so called stereotype threat effect can contribute to systematic group differences in performance that can obscure the true abilities of certain social groups and thereby sustain social inequalities. In the present study, we examined processes underlying stereotype threat effects on women's math performance, specifically focusing on the role of suppression of mind wandering (i.e., task-irrelevant thinking) in stereotype threat (ST) and no threat (NT) situations. Based on a process model of stereotype threat effects on performance, we hypothesized that women under stereotype threat spontaneously suppress mind wandering, and that this suppression impairs performance. An alternative regulation strategy that prevents suppression (i.e., reappraising task-irrelevant thoughts as normal) was predicted to prevent stereotype threat effects on performance. We manipulated stereotype threat (ST vs. NT) and cognitive regulation strategy (suppression, reappraisal, or no strategy) and measured women's performance on a math and a concentration task (N = 113). We expected three groups to perform relatively more poorly: Those in ST with either no strategy or suppression and those in NT with a suppression strategy. We tested the performance of these groups against the remaining three groups hypothesized to perform relatively better: those in NT with no strategy or reappraisal and those in ST with reappraisal. The results showed the expected pattern for participants' math performance, but not for concentration achievement. This pattern suggests that ineffective self-regulation by suppressing mind wandering can at least partly explain stereotype threat effects on performance, whereas a reappraisal strategy can prevent this impairment. We discuss implications for the understanding of processes underlying stereotype threat effects and the benefits of reappraising subjective experience under threat.