Little is known about how young adults (YAs) cope with cancer or the relationship between coping and psychological distress in YAs with advanced cancer. Structured clinical interviews with 53 YAs (20–40 years) with advanced cancer assessed coping methods, depression, anxiety, and grief. A principal components factor analysis identified underlying coping factors. Regression analyses examined the relationship between these coping factors and depression, anxiety, and grief. Six coping factors emerged and were labeled as: Proactive, Distancing, Negative Expression, Support-seeking, Respite-seeking, and Acceptance coping. Acceptance and Support-seeking coping styles were used most frequently. Coping by Negative Expression was positively associated with severity of grief after controlling for depression, anxiety, and confounding variables. Support-seeking coping was positively associated with anxiety after controlling for depression and grief. This study was limited by cross-sectional design, small sample size, and focus on YAs with advanced cancer. YAs with advanced cancer utilize a range of coping responses that are uniquely related to psychological distress.