This study examined coping styles and attributions for negative events among chronically depressed outpatients to determine whether these variables mediated differences in depression treatment outcome between combined nefazodone and cognitive behavioral analysis system of psychotherapy (CBASP), versus nefazodone and CBASP alone. Chronically depressed outpatients (N = 517) who completed the initial 12-week treatment phase were included in the analyses. Attributional style and coping met criteria for partial mediation of the combination treatment effect over nefazodone, accounting for 60% of the difference in treatment outcome. Escape-avoidant coping met criteria for partial mediation of the combination treatment effect over CBASP, accounting for 37% of the treatment differential. Among all of the cognitive and coping variables evaluated, escape-avoidance coping emerged as the dominant mediating variable. These findings suggest that nefazodone and CBASP each produced changes in maladaptive cognitions and coping, and that the superiority of combined treatment was partially accounted for by the additive effects of both forms of treatment on these variables.