Sixty-five women with a prospectively confirmed diagnosis of premenstrual syndrome (PMS) were subdivided on the basis of their scores on the Beck Depression Inventory (BDI) into high-depression and low-depression groups and compared with 49 non-PMS control women on self-administered measures of coping and anxiety. The high-depression PMS group was found to utilize significantly more avoidant coping styles in dealing with stressors independent of the premenstrual phase. Implications for treatment are discussed.