Neonatal intensive care unit (NICU) nurses experience increased risk for depression, secondary traumatic stress, and burnout. This study examined whether the use of problem-solving or support-seeking strategies moderated the relationship between secondary traumatic stress levels, depressive symptomology, and burnout in NICU nurses. Multiple linear regression and a hierarchical stepwise technique were used to conduct moderation analyses. Results indicated that support-seeking coping skills significantly moderated the relationship between secondary traumatic stress symptoms and burnout symptoms. Coping did not moderate the relationship between depression and burnout. These findings can be used to inform the development of programs that could promote the well-being and coping of nurses experiencing mental health difficulties or burnout and foster a healthy work environment for all NICU nurses so that they can provide the best possible intervention to vulnerable infants. Future research should aim to identify interventions that promote coping in NICU nurses.