Although previous studies have shown that rejection sensitivity (RS) is related to aggressive, prosocial, and withdrawal behaviors, little is known on the underlying mechanisms. This contribution aims to fill this gap by showing the usefulness of differentiating between the cognitive (expectation) and emotional (anxiety, anger) components of RS and testing the potential mediating role of cognitive emotion regulation (ER) strategies for predicting aggressive, prosocial, and withdrawal tendencies. Results from data collected in a sample of young adults (N = 445) showed that rejection expectation was only negatively linked to prosociality and that 2 functional ER strategies (i.e., positive reappraisal and putting into perspective) negatively mediate this relation. Conversely, dysfunctional ER strategies positively mediated the positive links between anger about rejection and aggression (i.e., catastrophizing and other blaming) as well as withdrawal (i.e., catastrophizing) and between anxiety about rejection and withdrawal (i.e., self-blame and rumination). We discussed the implications of the results for the comprehension of the role of ER strategies in behaviors linked to RS. (PsycInfo Database Record (c) 2022 APA, all rights reserved).