Strategies that children use for coping with stressors are known to be related to emotional adjustment, but not enough is understood about specific links with social anxiety and depression. The present investigation tested differentiated associations of social anxiety and depression with specific types of coping strategies, and evaluated the direction of these associations over time. In Study 1, 404 children aged 8-13 years completed a coping scale modified from Kochendefer-Ladd and Skinner (Developmental Psychology 38:267-278, 2002) in order to evaluate factor structure and subscale internal consistency. In Study 2, 270 8-11-year-old children completed depression and social anxiety scales, a sociometric survey, and the coping scale from Study 1, with a follow-up timepoint 9 months later. In Study 1, factor analysis revealed six internally consistent coping subscales. In Study 2, social anxiety and depression were found to have distinctive longitudinal associations with subsequent coping strategies. Decreased problem-solving, social support-seeking, and distraction were uniquely predicted by depression but not by social anxiety. Internalising coping was a stronger outcome of social anxiety, and increased externalising was uniquely predicted by depression. There was also some evidence for a moderating role of peer relations. However, none of the coping strategies predicted changes in depression or social anxiety over the two timepoints. These results highlight the impact that emotional adjustment may have on children's coping strategies, and clarify important distinctions between social anxiety and depression in relation to coping.