Depression in breast cancer patients and survivors is related to negative disease outcomes and worse quality of life. Factors that explain this depression can serve as targets of intervention. This study, guided by the Transactional Theory of Stress, examined the relationship between cognitive appraisals, coping strategies and depressive symptoms in a group of women with mostly advanced-stage breast cancer (N = 65), who scored mostly within the normal range for depressive symptoms. Path analysis was used to determine the relationships among variables, measured with the Cognitive Appraisals of Illness Scale, the Ways of Coping Questionnaire and the Center for Epidemiological Studies Depression Scale. The results of the path analysis showed that higher appraisals of harm/loss and greater use of escape–avoidance coping predicted higher depressive symptoms. These findings enhance the prediction of depression among breast cancer patients and suggest the need to examine cognitive appraisals when attempting to understand depressive symptoms. Copyright © 2012 John Wiley & Sons, Ltd.