Given its relatively high prevalence, one possible source of stress for patients with multiple sclerosis (MS) is cognitive dysfunction. The authors' study was guided by a new theoretical model suggesting that cognitive dysfunction in MS may be most likely to lead to depression when patients use high levels of avoidance coping and/or low levels of active coping. To test this model, 55 patients with definite MS were administered a neuropsychological battery and measures of depression and coping. Consistent with predictions, regression analyses showed that coping significantly moderated the relationship between cognitive dysfunction and depression. Specifically, cognitive dysfunction was most likely to be associated with depression when patients used either high levels of avoidance or low levels of active coping. Implications of these data for clinical applications and for our theoretical conceptualization are discussed and limitations of the model explored.