BACKGROUND Research on mental illness labeling has demonstrated that self-labeling (identifying with a mental illness label, e.g., "I have depression") is associated with internalized stigma, maladaptive responses to that stigma, and lower quality of life. However, research has not yet examined the link between self-labeling and how individuals cope with emotional distress. It is important to understand this relationship because adaptive and maladaptive methods of coping can lead to positive and negative mental illness outcomes. METHODS This cross-sectional study examined the link between depression self-labeling, depression symptoms, and three constructs related to depression self-management (perceived control over depression, cognitive emotion regulation strategies, and help-seeking beliefs) in a large (N = 1423) sample of U.S. college students. RESULTS Approximately one-fifth of students (22.2 %) self-labeled as having depression, while 39.0 % were estimated to meet diagnostic criteria for MDD. After controlling for depression symptom severity, self-labeling was associated with lower levels of perceived control over depression (p = .002), more catastrophizing (p = .013), less perspective taking, refocusing, reappraisal, and planning (ps < 0.05), and more positive help-seeking attitudes towards medication (p < .001) but not therapy. CONCLUSIONS Results are non-causal and may not generalize to non-college populations. CONCLUSIONS Self-labeling may inform how individuals cope with emotional distress, with the potential for positive and negative effects on clinical outcomes. This is consistent with well-established research on self-labeling with regards to stigma, but extends this research in important new directions.