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Major depressive disorder (MDD) is common among college students. The disease perpetuates depressive symptoms and potentially leads to chronic depressive episodes. Existing literature has shown that students who use both cognitive and behavioral maladaptive coping skills are more prone to endure depressive symptoms and poorer academic performance. Despite these known associations, little research has examined the relationship between coping skills and self-efficacy in response to warning signs of MDD in college students. This study sought to fill the gaps in the research of MDD related to precursors, predictors, and coping mechanisms among undergraduate students in a national sample of U.S. college students. Secondary data (N = 6,713) were analyzed from the Healthy Minds Study 2012, which used the Patient Health Questionnaire-9 (PHQ-9) with a test-retest reliability. Social learning and social cognitive theories were used as the theoretical frameworks to focus on problems such as management of life activities, academic success, and maladaptive beliefs. Analyses of the data from the cross-sectional survey using multiple linear and logistic regressions indicated a statistically significant relationship between depressive symptoms and the potential predictive factors of MDD. These findings contribute positively to social change by informing the work of therapists and program developers, who may use these results to create programs that reduce depressive symptoms among undergraduates.