Research on the relationship between cohabitation and mental health tends to ignore social psychological factors that help explain mental health differences between the married and the unmarried, including coping resources and perceived relationship quality. In this paper I draw on social psychological theory and research to clarify differences in depression and alcohol use between married and cohabiting individuals. Using data from the National Survey of Families and Households, I examine the independent and combined influences of socioeconomic status, coping resources, and relationship quality to account for marital status differences in distress. I find that marital status differences in coping resources and relationship quality help explain the gap in depression, but not in alcohol use, between married and cohabiting individuals. I also find that social selection is not responsible for marital status differences in distress. The implications of these findings for future research on cohabitors' mental health are discussed. (Contains 4 tables and 10 footnotes.)