Difficulty in emotion regulation is a hallmark feature of patients with borderline personality disorder (BPD). Skills training concepts based on dialectical‐behaviour therapy (DBT) are common and effective treatment options for specifically addressing lacking skills in emotion regulation. However, so far it is unclear which aspects of coping change over the course of DBT skills training and if these coping strategies predict symptom change. The present process‐outcome analysis, based on a randomized controlled study, aims at investigating these questions, by referring to a general conception of coping and by using an observer‐rated approach to assess coping strategies directly in the therapy sessions. In total, n = 31 patients with BPD underwent two individual clinical interview assessments (pre‐ and post‐study intervention; half of the patients underwent DBT skills training, half were in a wait‐list control). All individual assessment sessions were transcribed and analysed using the Coping Action Pattern Rating Scale. Outcome was assessed pre‐ and post‐intervention using the Outcome Questionnaire‐45.2 and the Borderline Symptom List 23. The results showed increase in overall coping functioning in patients who underwent the DBT skills training, compared with the controls, and specific increases in relatedness coping where the stress is appraised as challenge, along with specific decreases in autonomy coping where the stress is appraised as threat. These changes predicted changes in general distress and borderline symptomatology. The results are interpreted within a general framework aiming at understanding the psychological effects of treatments for BPD, in particular effects related to coping. Effective emotion regulation strategies may therefore be important candidates as potential change mechanisms in treatments for BPD. Copyright © 2016 John Wiley & Sons, Ltd. Key Practitioner Message It seems important for clinicians to assess the quality of coping strategies as they occur within the session facing a patient with borderline personality disorder. Clinicians may foster the emergence of support‐seeking and self‐reliance coping strategies in order to increase the effectiveness of therapy. Clinicians may monitor closely the patient's use of ineffective emotion regulation strategies, in particular opposition and submission, with the aim of reducing them early in therapy.