Objective The purpose of this study was to examine the quality of coping skills as a predictor of change in depressive symptoms surrounding a series of naturally occurring stressors. Method A total of 213 undergraduate students completed study measures surrounding 3 stressors (involving 6 assessments per participant). Primary analyses focused on occasions of disappointing exam performance. Results Consistent with expectations, coping skill quality was predictive of more adaptive responses (i.e., less depressive symptom reactivity), with this relation being particularly strong among participants with high initial levels of depressive symptoms and on occasions when participants had a marked worsening of mood. The quality of skills used in coping with specific stressors continued to predict depressive symptom reactivity after controlling for a one‐time measure of coping skill quality. Conclusions Our results support the importance of both stressor‐specific coping skill quality and consideration of key contextual factors in understanding depressive symptom reactivity surrounding stressors.