The COVID-19 pandemic lockdowns led to high psychological stress for many adolescents and young adults, which may have contributed to increased depressive symptoms. We aimed to determine if benefit-finding, a cognitive-based coping strategy, was associated with lower depressive symptoms early in the pandemic, and if associations between different types of stress and depressive symptoms depended on the level of benefit-finding that high school and university students reported using. Hypotheses were tested using online survey data in May 2020 during stay-at-home restrictions. The high school sample (N = 651; M = 16.2 years) included students from three US urban high schools, and the university sample (N = 437; M = 26.6 years) included undergraduate and graduate students at a mid-size private urban university. Participants self-reported COVID-19-specific psychological and financial stress, benefit-finding, and depressive symptoms. In both samples, higher psychological stress, higher financial stress, and lower benefit-finding were associated with higher depressive symptoms. In the university sample only, those reporting high benefit-finding showed lower psychological stress and depressive symptoms. Benefit-finding did not moderate associations between financial stress and depressive symptoms in either sample. Benefit-finding was associated with lower depressive symptoms generally, suggesting a potential benefit for this strategy regardless of stress level for high school and university students. Benefit-finding may have helped buffer the association between high levels of psychological stress related to the pandemic and depressive symptoms, but only for university students. Finally, benefit-finding appeared less beneficial for buffering against high depressive symptoms in the context of high financial stress in both samples.