Although research has found that acculturative stress is significantly associated with adverse psychological adjustment among Latinos, the mechanism by which this relationship exists is not clearly understood. The purpose of this study was to investigate the role of behavioral and cognitive resources—active coping and self-efficacy, respectively—as mediators of the relationship between acculturative stress and depression among a sample of Latina/o adults (N = 469). Multiple mediator analysis indicated that active coping partially mediated the relationship between acculturative stress and depression symptom severity. The indirect relationship of acculturative stress to depression symptom severity through self-efficacy was not significant. The results suggest that acculturative stress directly relates to Latino psychological adjustment, and lower behavioral active coping partially accounts for this relationship. Results are discussed in the context of culturally based stress and coping models, wherein the relationship between stressors and subsequent psychological adjustment is influenced by the degree of fit between stressor demands and individuals’ resources. Implications for treatment and theory are discussed