Comorbidity of social anxiety disorder and major depressive disorder is common and bears a worse prognosis than either disorder alone. Emotion regulation strategies, such as cognitive reappraisal (CR), expressive suppression (ES), and their interaction may impact the association of social anxiety with depression symptoms. Path analysis was used to examine how CR and ES may interact to predict the association of social anxiety with depression in a large, multi-university sample (N = 9,750). There was a three-way interaction of CR, ES, and social anxiety predicting depression. CR weakened the association of social anxiety with depression at low levels of ES. ES weakened the social anxiety/depression relation at low CR, and ES strengthened the association at high levels of CR. Compared to low levels of both strategies, high levels of either emotion regulation strategy paired with low levels of the other weakened the social anxiety/depression association. Compared to high or low levels of both strategies, high CR with low ES was associated with a weaker relation between social anxiety and depression. The association of social anxiety and depression symptoms, hence their comorbidity, may depend in part on the interaction of CR and ES. ES may interfere with the resilience to comorbidity provided by CR. Either CR or ES may convey resilience compared to using neither strategy.