Cross-sectional and longitudinal research has shown that race-related stress is associated with increased depressive symptoms among racial/ethnic minorities. Rumination has long been considered a maladaptive self-regulatory response to race-related stress, and growing evidence suggests that it may be an important link in the relation between race-related stress and depression. More adaptive forms of self-regulation, such as active coping, may counteract the negative impact of rumination. We examined the influence of rumination on the relation between race-related stress and depressive symptoms in a sample (N = 69) of young adult (mean age = 20 ± 1.5 years) African American women. We also considered the possible moderating effects of John Henryism, a form of persistent and determined goal striving, and vagally mediated heart rate variability, a purported biomarker of coping. Anticipatory race-related stress was indirectly associated with depressive symptoms through rumination: estimate = 0.07, 95% confidence interval [0.01, 0.16]. Both John Henryism and vagally mediated heart rate variability moderated the relationship between race-related stress and rumination; however, only John Henryism reliably influenced the indirect association between race-related stress and depression through rumination. We discuss these findings in the context of growing research examining the interplay between cultural and biological factors in the risk for poorer mental health.