Individuals with the short variant of the serotonin transporter linked polymorphic region gene are more susceptible than individuals homozygous for the long allele to the effects of stressful life events on risk for internalizing and externalizing problems. We tested whether individual differences in coping style explained this increased risk for problem behavior among youth who were at both genetic and environmental risk. Participants included 279 children, ages 8–11, from the Children's Experiences and Development Study. Caregivers and teachers reported on children's internalizing and externalizing symptoms, and caregivers and children on children's exposure to harsh parenting and parental warmth in middle childhood, and traumatic events. Children reported how frequently they used various coping strategies. Results revealed that short/short homozygotes had higher levels of internalizing problems compared with long allele carriers and that short allele carriers had higher levels of externalizing problems compared with long/long homozygotes under conditions of high cumulative risk. Moreover, among children who were homozygous for the short allele, those who had more cumulative risk indicators less frequently used distraction coping strategies, which partly explained why they had higher levels of internalizing problems. Coping strategies did not significantly mediate Gene × Environment effects on externalizing symptoms.