This study used the Ways of Coping Checklist to examine coping style in patients with panic and major depressive disorders. The relative contribution of distress (symptom severity) and diagnostic comorbidity was determined in three sets of diagnostic subgroups: patients suffering from both panic and major depressive disorders (compared with either disorder alone); panic patients with and without agoraphobia (regardless of concurrent depression); and patients with versus without a concurrent axis II personality disorder. Use of less problem-focused and more emotion-focused coping was strongly correlated with level of distress and was associated with all three examples of diagnostic comorbidity when level of distress was used as a covariate. Regression analyses showed that, except for the presence of a personality disorder, distress was a much stronger predictor of coping than diagnostic subtype.