Objectives Up to 90% of medical students experience stress. Studies have observed a relationship between stress and depression. Coping strategies to deal with stress and depression are of great interest. This study aimed to evaluate the prevalence of stress and depression and the efficacy of coping strategies in undergraduate medical students. Methods This survey was conducted with 589 second-year and sixth-year students in 2017 at the Medical University of Vienna. The questionnaire included a stress and coping questionnaire, depression screening, substance use questionnaire, and questionnaire concerning leisure time activities. Results The coping strategies were included in a regression model to assess their predictive value for stress and depression screening scores. The most common stressor was performance pressure overload (92.1%). Overall, 52.4% of the participating students reached critical scores in the depression screening. Positive thinking and active coping were associated with lower stress scores. Positive thinking also was a protective factor against depressive symptoms. Less than 2% of all students reached high-risk values for substance use. Conclusion Accessible counseling for students in need of psychological care should be provided. Different interventions of positive psychology showed a positive impact on depression screening scores.