Counterfactual thinking is a mental representation of alternatives related to the past that have beneficial implications for the present. The aim of this article is to create a synthesis of the main concepts associated to counterfactual thinking and to provide a clinical approach of this concept, from the point of view of coping strategies and depression. The article comprises four parts: in the first part, counterfactual thinking is defined and exemplified; the second part distinguishes between regret and disappointment, while the last two parts briefly present two cognitive models of depression and the concept of coping.