Risky behaviors, including unsafe sex, aggression, rule breaking, self-injury, and dangerous substance use have become a growing issue for U.S. veterans returning from combat deployments. Evidence in nonveteran samples suggests that risky behaviors reflect efforts to cope with and alleviate depressive and/or anxious symptoms, particularly for individuals with poor emotion-regulation skills. These associations have not been studied in veterans. Rumination, or repeated thoughts about negative feelings and past events, is a coping strategy that is associated with several psychopathologies common in veterans. In this cross-sectional study, 91 recently returned veterans completed measures of trait rumination, self-reported risky behaviors, and symptoms of posttraumatic stress disorder (PTSD) and depression. Analyses revealed that veterans with more depressive and PTSD symptoms reported more risky behaviors. Moreover, rumination significantly interacted with PTSD symptoms and depressive symptoms (both β = .21, p < .05), such that psychiatric symptoms were associated with risky behaviors only for veterans with moderate to high levels of rumination. Although cross-sectional, these findings support theory that individuals with poor coping skills may be particularly likely to respond to negative mood states by engaging in risky behaviors. Implications include using rumination-focused interventions with veterans in order to prevent engagement in risky behaviors.