The study examines “through‐the‐cycle” stability of S&P and Moody's state credit ratings to national and state level business cycles during 1977–2010. Additionally, the study evaluates the associations between economic concentration and credit quality in a long panel of state credit ratings. The findings suggest that, with other temporal effects held constant, the ratings of S&P and Moody's are not procyclical and are robust to ups and downs in national or state‐specific business cycles. Economic concentration is inversely associated with state credit quality and remains significant for the period of an average business cycle, controlling for national and state economic expansions and contractions.