Many patients with diabetes have poorly controlled blood sugar levels and remain at risk for serious diabetes complications, despite access to effective diabetes treatments and services. Using the transactional model of stress and coping framework, the study investigated the contributions of affect (Positive and Negative Affect Schedule) and coping (maladaptive and adaptive coping from the Brief Cope) on diabetes self-management behaviors, namely diet and exercise. One hundred seventy-eight rural adults with uncontrolled diabetes and moderate depressive symptoms completed the measures. Multiple regression analyses demonstrated that positive affect and negative affect were significantly associated with diet and exercise, even after adjusting for diabetes severity, illness intrusiveness, and diabetes knowledge. However, two path analyses clarified that adaptive coping mediated the relationships between affect (positive and negative) and self-management behaviors (diet and exercise). Comprehensive diabetes treatments that include self-management support can assist patients in recognition and use of adaptive emotion-focused coping skills.