This study aims to highlight the role of depression and coping mechanisms in generating counterfactual thoughts. Research confirms the main hypothesis that depression and coping strategies have an important role in developing a counterfactual type of thinking. Thus, unhappy situations had a stronger emotional impact on the depressed subjects, while the subjects who predominantly used coping based on eliminating activities, developed mostly counterfactual alternatives and felt a counterfactual regret. The findings of this study highlight the role of counterfactual thinking in maintaining psychological balance and the need to use it in developing an effective therapeutic relationship.