OBJECTIVES: Having effective ways to cope helps HIV-infected individuals maintain good psychological and physical well-being. This study investigated the relationship between coping self-efficacy levels, as determined by the Coping Self-Efficacy Scale (CSE), HIV status disclosure, and depression in a Danish cohort. METHODS: In 2008, the CSE was administered to 304 HIV-infected individuals to measure their confidence in their ability to cope with HIV infection. HIV status disclosure was assessed on a three-point scale: living openly with the disease, partly openly, or secretly. The Beck Depression Inventory (BDI) was used to assess depression prevalence and severity. RESULTS: The CSE score was significantly related to depression (Spearman's rho = -0.71; the test of H0: BDI and coping, probability >t=0.0001). There was a significant relationship between higher CSE scores and living openly with HIV. The risk of depression was four times higher in HIV-infected individuals who did not disclose their HIV status (i.e. who lived 'secretly'; odds ratio = 4.1) than in individuals who lived openly. CONCLUSION: Those with low CSE scores were more likely to report living secretly with HIV and to be depressed. Disclosing HIV may constitute a social stressor, and a lack of coping self-efficacy may increase the likelihood of non-disclosure and depression. Interventions that enhance self-efficacy may help in managing the demands of daily life with HIV, increase disclosure, and reduce depression.