Introduction Women with genitourinary pain, a hallmark symptom of interstitial cystitis/bladder pain syndrome (IC/BPS), are at a two‐ to four‐fold risk for depression as compared to women without genitourinary pain. Despite the pervasive impact of IC/BPS on psychological health, there is a paucity of empirical research on understanding the relation between IC/BPS and psychological distress. It has been previously reported that women with overactive bladder use increased compensatory coping and these behaviors are associated with heightened anxiety and stress. However, it is unknown whether a similar pattern emerges in IC/BPS populations, as ICBPS and OAB share many similar urinary symptoms. The current study examined the relationship between compensatory coping behaviors and symptoms of psychological distress in a sample of women with IC/BPS to inform understanding of risk and potential mechanisms for intervention. Method This was a secondary analysis of an observational cohort of women with bladder symptoms. Fifty‐five adult women with IC/BPS completed validated assessments of genitourinary symptoms, emotional distress, and bladder coping behaviors. Five compensatory coping behaviors were summed to create a total Bladder Coping Score. Linear regression examined associations between individual coping behaviors, total compensatory coping scores, and other risk variables. Results Most (93%) participants reported use of at least one compensatory coping behavior. Age, education level, history of vaginal birth, and symptom severity were all associated with greater compensatory coping scores, and anxiety was not. Beyond the influence of symptom severity, higher levels of depression were significantly associated with higher compensatory coping scores. Discussion Greater compensatory coping was associated with increased depression but not anxiety, suggesting different profiles of coping and psychological distress may exist among different types of bladder dysfunction.