Rationale: The negative impact of the COVID-19 pandemic on mental health is well evidenced. However, there is little research on how individuals' coping strategies were related to changes in mental health over time. Methods: The current study used data from the COVID-19 Social Study in the United Kingdom (N = 26,505) to explore whether coping strategies (problem-focused, emotion-focused, avoidant, and socially-supportive) were associated with (i) better mental health as lockdown was introduced, and (ii) faster recovery over time. Results: People with greater use of problem-focused, avoidant, and supportive coping displayed more mental health symptoms, while greater use of emotion-focused coping was associated with fewer mental health symptoms. Symptoms decreased over time for all coping strategies, but only socially-supportive coping was associated with a faster decrease in anxiety and depressive symptoms, indicating a potential protective effect of social support on psychological distress. Conclusions: Problem-, avoidant- and emotion-focused coping strategies were not associated with faster improvements in mental health. Suggesting the adoption of one of these coping styles in itself is not necessarily a driver of improvements in mental health; rather, specific attributes of the behaviours expressed as part of this coping style appear to be important in and of themselves.