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Background: Psychological models of posttraumatic stress disorder (PTSD) and prolonged grief disorder (PGD) make predictions about the role of unhelpful coping strategies in maintaining difficulties by blocking self-correction of negative appraisals and memory integration following stressful life events like bereavement. However, few studies have tested these predictions directly. Method: We used counterfactually based causal mediation to assess whether unhelpful coping strategies mediated the relationship between (1) loss-related memory characteristics and/or (2) negative grief-related appraisals and symptoms of PGD, PTSD and depression using a three-wave longitudinal sample (N = 275). Appraisals and memory characteristics were measured at time point 1, unhelpful coping strategies at T2, and symptom variables at T3. Additionally, multiple mediation analyses within a structural equation modelling (SEM) framework assessed which types of coping strategies differentially mediated symptoms of PGD, PTSD and depression. Results: Coping strategies mediated the relationship between negative appraisals and memory characteristics and symptoms of PGD, PTSD and depression after adjusting for demographics and loss characteristics. Sensitivity analyses suggested that these results were most robust for PGD, followed by PTSD and then depression. Multiple mediation analyses suggested that all four subscales (avoidance, proximity seeking, loss rumination and injustice rumination) individually mediated the effect of memory characteristics and appraisals on PGD. Conclusions: These results suggest that core predictions of the cognitive model for PTSD and the cognitive behavioural model of PGD are useful in predicting symptoms of post-loss mental health problems in the first 12–18 months after loss. Targeting unhelpful coping strategies is likely to reduce symptoms of PGD, PTSD and depression. [ABSTRACT FROM AUTHOR]