We related reported physical symptoms, cognitive appraisals (e.g., negative style of thinking), and coping strategies (e.g., denial/disengagement strategies) with illness burden across several functional domains separately in subsets of chronic fatigue syndrome (CFS) patients with (n = 26) and without (n = 39) concurrently diagnosed major depressive disorder (MDD). In regard to cognitive appraisal measures, automatic thoughts and dysfunctional attitudes were strongly associated with a higher illness burden, as indicated in sickness impact profile (SIP) scores. Active-involvement coping strategies measured on COPE scales (active coping, planning, and positive reinterpretation and growth) were not associated with SIP scores, while other coping strategies (mental disengagement, behavioral disengagement, and denial) were positively correlated with psychosocial and physical SIP scales, especially those pertaining to interpersonal life-style arenas. After we accounted for the number of different CFS-specific physical complaints reported and DSM-III-R depression diagnosis status, cognitive appraisals and coping strategies predicted a substantial proportion of the variance in the severity of illness burden. For the most part, the magnitude of these relationships between our predictor model variables and illness burden severity was similar in the MDD and non-MDD subgroups.