This study examined how coping styles are related to functional status in patients with medically unexplained physical symptoms and to what extent depression and anxiety account for this relationship. In 90 Dutch adult patients presenting medically unexplained physical symptoms, coping styles, health-related functional status, anxiety, and depression were measured. Multiple regression analyses and mediation analysis showed that coping styles were directly and indirectly related to functional status. In this relationship, depression and anxiety played an important role. The findings highlight the relevance of addressing coping styles, depression, and anxiety when targeting the functional status of patients with medically unexplained physical symptoms in clinical practice.