The ability to effectively regulate our emotions has been shown to be impaired in people with depression. Arts activities have been found to improve depression, but whether people with depression make differential use of emotion regulation strategies (ERSs) when engaging in the arts remains unclear. This study analysed data from 11,248 individuals with depression who were matched on demographics, personality and arts experience with a further 11,248 individuals without depression. We found a significantly lower overall use of self-reported ERSs when engaging in arts amongst those with depression; specifically lower use of approach strategies (e.g. reappraisal) and self-development strategies (e.g. improved self-esteem), but the same use of avoidance strategies (e.g. distraction). However, these differences were very slight (very small effect size and <1% difference). This suggests that people with depression still experience benefits for emotion regulation, which could help to explain the beneficial effects of arts interventions reducing symptoms of depression.