Background: Depression and anxiety are prevalent issues amongst individuals suffering from thoracic cancer. Gender differences in coping with thoracic cancer have a serious impact upon the management of emotional distress. The purpose of our study has been to assess sex variations in handling anxiety and depression, including the use of coping mechanisms and their relationship with respect to anxiety and depression. Methods: This cross-sectional study registered 18 women and 22 men with non-metastatic lung cancer and operated upon. Preoperatively and at one month post-operatively, the patients were assessed by means of scales (COPE, GAD-7 and PHQ-9). Results: Post-operatively, the intensity of depression and anxiety was substantially greater in males than in females (p = 0.049, p = 0.042). Male individuals tended to use coping mechanisms of humour (p = 0.009) and restraint (p = 0.029) significantly more frequently than women. Moreover, in women, depression correlated significantly with denial and behavioural deactivation (rho = 0.465, p = 0.029, respectively, rho = 0.562, p = 0.006); whilst anxiety, similarly, correlated with positive interpretation, behavioural deactivation, and use of social-emotional support (rho = 0.484, p = 0.022, respectively, rho = 0.590, p = 0.004 and rho = 0.502, p = 0.017). Furthermore, in males, depression correlated significantly with mental deactivation, use of social-instrumental and social-emotional support (rho = 0.702, p = 0.001, respectively, rho = 0.505, p=0.033, and rho = 0.773 with p < 0.001), whilst anxiety correlated significantly with mental deactivation, denial, and use of social-emotional support (rho = 0.597, p = 0.009, respectively, rho = 0.553 with p = 0.017 and rho = 0.755, p < 0.001). Conclusion: There were gender divergences in the use of coping mechanisms and the level of post-surgical anxiety and depression. We found significant positive relationships between some coping mechanisms and depression/anxiety. The patient's gender governs the coping style, which in turn has bearing upon the post-operative evolution.