Using a longitudinal design, the authors examined coping and cognitive functioning in the development of depression in individuals with multiple sclerosis (MS). Coping style was evaluated in 2 conceptually distinct roles: as moderator and mediator of the impact of cognitive dysfunction on depression. Using indices derived from the COPE (C. S. Carver, M. F. Scheier, & J. K. Weintraub, 1989), the authors operationalized coping in 3 ways-as active, avoidant, and an index accounting for relative levels of both. Coping both moderated and partially mediated the relationship between cognitive dysfunction and depression. Moderation results suggest that the relationship between cognitive dysfunction and depression is dependent on coping style-adaptive coping protects individuals from experiencing depression related to their cognitive deficits; however, when individuals use maladaptive coping, cognitive dysfunction puts them at risk for depression. Mediational results suggest that cognitive dysfunction leads to depression partially due to cognitive dysfunction's effects on coping. That is, cognitive deficits may impair individuals' ability to use adaptive coping strategies, leaving them more likely to use maladaptive strategies. Clinical and theoretical implications of these findings are discussed.