Approximately 50% of persons with multiple sclerosis experience cognitive impairment, which adversely affects daily functioning. Although patients report that fatigue contributes to cognitive difficulties, previous empirical studies do not show a clear association. This study assessed coping style as a moderator of the relationship between fatigue and cognition in a 3-year longitudinal sample. Scores on the Fatigue Impact Scale and the Coping Orientation to Problems Experienced (COPE) at baseline were modeled to predict later performance on a composite of cognitive tests to investigate the hypothesis that coping would have a significant moderating effect on fatigue in predicting cognitive performance. Findings partially supported hypotheses by showing that avoidant coping moderated the relationship between fatigue and cognitive performance. Patients who experienced relatively high fatigue performed better on cognitive tests if they used less avoidant coping. Those who reported lower fatigue had relatively good cognitive performance regardless of their coping style. This study provides evidence that coping style is associated with the ability to deal with stress, like fatigue, and their interaction can impact functional outcomes of disease. These results could benefit understanding of prognosis and improve treatment for patients with MS.