Caring for someone with a mental illness is associated with high levels of burden and psychological distress. Understanding these factors could be important to prevent the development of physical and mental health problems in carers. The purpose of the present study was to determine the contribution of coping styles and social support in predicting the psychological distress reported by informal carers (IC) of individuals with major depression or bipolar disorder. IC (n = 72) of adults with a diagnosed depressive illness were recruited from mental health organizations within the community setting. Carers completed the General Health Questionnaire, Brief COPE, and Social Support Questionnaire. Multiple linear regression analysis revealed that 63% of the variance in psychological distress could be accounted for by adaptive and maladaptive coping styles and perceived quantity and satisfaction with social support. Satisfaction with social support (β = -0.508, P < 0.001) and maladaptive coping (β = 0.369; P < 0.001) were significant predictors of psychological distress. These findings suggest that interventions should consider coping styles, specifically the interaction between maladaptive behaviours and enhancement of quality of support, to assist carers to manage psychological distress, especially earlier in the caring role.