The assumed data generating models (response distributions) of experimental or observational data in cognitive science have become increasingly complex over the past decades. This trend follows a revolution in model estimation methods and a drastic increase in computing power available to researchers. Today, higher-level cognitive functions can well be captured by and understood through computational cognitive models, a common example being drift diffusion models for decision processes. Such models are often expressed as the combination of two modeling layers. The first layer is the response distribution with corresponding distributional parameters tailored to the cognitive process under investigation. The second layer are latent models of the distributional parameters that capture how those parameters vary as a function of design, stimulus, or person characteristics, often in an additive manner. Such cognitive models can thus be understood as special cases of distributional regression models where multiple distributional parameters, rather than just a single centrality parameter, are predicted by additive models. Because of their complexity, distributional models are quite complicated to estimate, but recent advances in Bayesian estimation methods and corresponding software make them increasingly more feasible. In this talk, I will speak about the specification, estimation, and post-processing of Bayesian distributional regression models and how they can help to better understand cognitive processes.