Our previous research has highlighted the important link between coping behaviors and mental health symptoms in military personnel. This study seeks to extend these findings by examining each coping behavior and mental health issue individually. This study has four specific aims: (1) test cross-sectional relationships between coping and mental health at baseline and follow-up, (2) examine stability of each variable over time, (3) determine the predictive nature of baseline mental health and coping on subsequent mental health and coping, (4) assess the magnitude of each effect to evaluate the differential predictive value of coping behaviors and mental health symptoms. A convenience sample of U.S. Army platoons of the 82nd Airborne was surveyed. We used a two-wave, cross-lagged autoregression design with structural equation modeling to disentangle elements of temporality and to examine the predictive value of mental health status vis-à-vis coping behaviors and vice versa. Separate analyses were performed with each coping strategy and each set of mental health symptoms. This design allowed for the analysis of two synchronous associations (i.e., cross-sectional correlations between the coping strategy and mental health symptoms at each time point), two autoregressive effects (i.e., baseline mental health predicting mental health at follow-up and baseline coping predicting coping at follow-up), and two cross-lagged effects (i.e., baseline coping strategy predicting mental health at follow-up and baseline mental health predicting follow-up coping). Results of descriptive statistics revealed that the most frequently reported coping behavior was thinking of a plan to solve the problem, followed by talking to a friend, engaging in a hobby, and exercising or playing sports. The least often endorsed coping behaviors were smoking marijuana or using illicit drugs and thinking about hurting or killing oneself, followed by having a drink or lighting up a cigarette. We verified many cross-sectional relationships between coping behaviors and mental health symptoms. Specifically, talking to a friend, exercising or playing sports, engaging in a hobby, and thinking of a plan were associated with fewer anxiety, perceived stress, and depression symptoms, whereas smoking a cigarette, having a drink, and thinking about hurting or killing oneself were associated with more anxiety, perceived stress, and depressive symptoms. Marijuana and illicit drug use was also associated with higher depressive symptoms. Saying a prayer was not significantly related to mental health. Only four cross-lagged effects were significant. Those who reported more depressive symptoms at Time 1 reported talking to friends and family less and exercising or playing sports less as coping behaviors at Time 2. Baseline perceived stress predicted less likelihood of engaging in a hobby at follow-up, whereas exercising or playing sports as a coping behavior at baseline predicted lower perceived stress at follow-up. This study expands the evidence for the associations between coping behaviors and psychological health or distress to specific mental health symptoms, particularly in military service members, and provides comparisons of magnitude of each association. Clinically, this knowledge is critical to more efficiently target behaviors with the greatest associations to mental health in military personnel.