The way in which children cope with peer aggression may determine their subsequent adjustment, but different forms of coping may be more or less effective for particular children. This research examined whether the contribution of children’s coping to subsequent depressive symptoms was contingent on children’s temperament (i.e., level of negative emotionality; NE) and gender. Children (N = 235, 102 boys, 133 girls, M = 7.94 years, SD = 0.33) reported on exposure to peer victimization. Parents rated children’s NE and depressive symptoms, and teachers rated children’s coping. For girls with high NE, problem solving protected against depressive symptoms whereas seeking retaliation heightened risk for depressive symptoms. Advice seeking protected children with low NE against depressive symptoms whereas ignoring protected children with high NE against depressive symptoms. Humor predicted fewer depressive symptoms in boys with high NE but more depressive symptoms in boys with low NE. This research helps to elucidate individual differences in the effects of coping on adjustment, and has implications for interventions aimed at reducing risk resulting from exposure to peer aggression.