In this study, we examined coping strategies as a mediator of the association between loneliness and depressive symptoms. A sample of 364 Spanish young adults (75.5% females) completed measures of loneliness, coping, and depressive symptoms. In general, results from computing correlations (controlling for gender) indicated that loneliness was negatively associated with the use of one engaged coping strategy (viz., problem solving) and positively associated with the use of disengaged coping strategies (e.g., problem avoidance). A multiple mediation analysis (controlling for gender) was conducted to test for mediation. Results of this analysis indicated that part of the association between loneliness and depressive symptoms can be explained by the use of one engaged coping strategy (viz., problem solving; indirect effect, p < .05) and a variety of disengaged coping strategies (viz., problem avoidance, wishful thinking, social withdrawal, & self criticism; indirect effects, p < .05). Overall, the prediction model including loneliness and coping strategies was found to account for a large (f2 = .68) 40.5% of the variance in depressive symptoms in Spanish young adults. The present findings are the first to clarify how the association between loneliness and depressive symptoms in Spanish young adults might be due in part to the use of different coping strategies. Some implications for theory and practice are discussed.