Considerable interest has recently been directed at the relationship between coping styles and depression. However, a systematic understanding of this relationship has been impeded because of the use of coping measures with problematic psychometric qualities. The present study examined the relationship between depressive symptoms and coping styles in a college sample, using the recently developed Multidimensional Coping Inventory (MCI) to assess coping styles. The relationships between depression and both state and trait anxiety were also examined, since there is accumulating evidence that the constructs of depression and anxiety are difficult to distinguish in a college population. The study found gender differences in coping behaviour, with females reporting more emotion-oriented and avoidance-oriented coping behaviours than males. Males and females scoring high on depressive symptoms were found to use more emotion-oriented coping than those scoring low. A strong relationship was found between state anxiety and depressive symptoms, suggesting that in a college sample the two constructs may be part of a general psychological distress response. However, the relationship between depression and a multidimensional assessment of trait anxiety suggests that depression is only related to specific facets of trait anxiety (e.g., social evaluation) in particular types of anxiety provoking situations.