Applying the proximal–distal framework, we were interested in whether the relationship between loss of face (LOF) concerns to depression and social anxiety were mediated by coping among 154 Asian Americans (AA). Utilizing a convenience sample from an online survey of AA, we ran ordinary least squares (OLS) regressions to examine whether direct and indirect coping explained the relationship between LOF concerns, depression, and social anxiety. LOF was positively associated with both direct and indirect coping. LOF also was positively associated with depression and social anxiety. The relationship between LOF and depression was significantly mediated by indirect coping but not direct coping. Higher levels of indirect coping explained the relationship between LOF and depression. In addition, the relationship between LOF and social anxiety was significantly mediated by indirect coping and direct coping. The relationship between LOF and social anxiety was partially explained by lower levels of direct coping and higher levels of indirect coping. LOF, however, continued to significantly predict social anxiety even after accounting for coping strategies. These results suggest that the LOF has a distal relationship to depression and social anxiety. Coping has a more proximal relationship to depression and social anxiety. By identifying proximal factors to depression and social anxiety, it is possible to reduce symptoms of depression and social anxiety among AA without mitigating the endorsement of traditional cultural values.