Few studies have characterized the effects of cancer diagnosis and treatment on sleep quality in men with cancer, and even fewer have identified mediators between psychosocial factors and physical symptoms. It has been debated whether active, approach-oriented, coping behaviors or more passive, avoidance-oriented, coping behaviors are more important to the preservation of sleep quality. This study tested the impact of coping style (i.e., approach vs. avoidance) on sleep quality and depressive symptoms and intrusive thoughts as putative mediators. Utilizing a longitudinal design, men with cancer (N = 55) were assessed at study entry (T1) and again 6 months later (T2). Two indicators of sleep quality were assessed: severity of sleep disturbance symptoms and resulting interference with daily functioning from sleep problems. Higher use of avoidance coping at T1 was related to greater severity in sleep-related symptoms (p < 0.01) and more interference with daily functioning (p < 0.001) at T2. Approach coping at T1 was unrelated to indicators of sleep quality. Depressive symptoms and not intrusive thoughts mediated the relationship between avoidance coping and sleep symptom interference and partially mediated the effect on sleep symptom severity based on examination of bootstrapped standard errors for indirect paths. Avoidance of cancer-related stressors and circumstances likely contributes to declines in mood states and in turn compromises sleep. An individual’s coping style may be an important consideration in the assessment and treatment of sleep problems in men with cancer.