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Background: Pregnancy loss (PL) is a common, yet rarely examined public health issue associated with an increased risk of impaired mental health, particularly depression. Objective: Previous research shows childlessness to be a correlate of depression after PL. First studies also indicate associations of the type of loss, multiple losses, relationship quality, and coping strategies with depression after the loss of a pregnancy. However, results are inconsistent and the few existing studies show methodological deficits. Therefore, we expect higher depression scores for women without living children, and we exploratively examine the associations between the type of loss, the number of losses, relationship quality, and coping strategies with depression scores for women who suffered a PL. Method: In an online setting, N  = 172 women with miscarriage ( n  = 137) or stillbirth ( n  = 35) throughout the last 12 months completed the Patient Health Questionnaire (PHQ-D), Brief-COPE, and Partnerschaftsfragebogen (PFB), a German questionnaire measuring relationship quality. Results: In a multiple hierarchical regression analysis, stillbirth, β = 0.15, p  = .035, presence of living children, β = -0.17, p  = .022, and self-blame/emotional avoidance, β = 0.34, p  < .001, are predictors of depression scores. However, there was no association between depression symptoms and other coping strategies, relationship quality, and multiple losses. Conclusions: Especially with regard to women who have no living children, have suffered a stillbirth, or are affected by self-blame/emotional avoidance, health care providers should monitor the presence of depressive symptoms. Our results indicate the need for specific instruments measuring coping style and relationship quality after PL, since the standard items of the PFB and the Brief-COPE seem inappropriate for this setting.