Metabolic syndrome (MetS) is related to depression and contributes to reduced life expectancy in individuals with mental disorders. Stress coping strategies are important factors in the development and maintenance of depressive disorders and have been related to metabolic disturbances. The aim of this study was to determine whether there is a difference in the use of positive (re- and devaluation, distraction, and control) and negative stress coping strategies in relation to patients’ MetS. A sample of 363 individuals (nfemale = 204,nmale = 159) with a diagnosis of depression was measured with the Stress Coping Style Questionnaire and the Beck Depression Inventory. In addition, we collected data on MetS (waist circumference, triglycerides, high-density lipoprotein, fasting glucose/diabetes, blood pressure/hypertonia) according to the International Diabetes Federation. A 2 × 2 design including Mets (with vs. without) and sex (female vs. male) was performed to test for differences in stress coping strategies. Individuals with depression and MetS scored higher on distraction strategies than depressed individuals without MetS (p< 0.01, corrected with false discovery rate). In addition, we found sex differences in stress coping strategies indicating that women with depression scored higher on distraction strategies (p< 0.001, FDR corrected), as well as negative strategies (p< 0.001, FDR corrected), than men. No significant interaction between MetS and sex was found regarding the higher value of stress coping strategies. Findings suggest that individuals with depression and MetS used distraction strategies to a higher amount to cope with stress, which could be stress eating in some cases, than those without MetS. Women with depressive disorders had higher values than men on other coping strategies in our sample of individuals with depression. A better understanding of MetS and sex-specific differences in stress coping strategies might help to plan more effective preventive strategies and personalized treatment options for depression.