Background: Due to the excessive and pathologic effects of depression and anxiety, it is important to identify the role of protective factors, such as effective coping and social support. This study examined the associations between perceived social support and coping styles with depression and anxiety levels. Materials and Methods: This cross sectional study was part of the Study on the Epidemiology of Psychological, Alimentary Health and Nutrition project. A total 4658 individuals aged ≥20 years was selected by cluster random sampling. Subjects completed questionnaires, which were used to describe perceived social support, coping styles, depression and anxiety. t-test, Chi-square test, pearson′s correlation and Logistic regression analysis were used in data analyses. Results: The results of Logistic regression analysis showed after adjusting demographic characteristics for odd ratio of anxiety, active copings such as positive re-interpretation and growth with odds ratios; 95% confidence interval: 0.82 (0.76, 0.89), problem engagement (0.92 [0.87, 0.97]), acceptance (0.82 [0.74, 0.92]) and also among perceived social supports, family (0.77 [0.71, 0.84]) and others (0.84 [0.76, 0.91]) were protective. In addition to, for odd ratio of depression, active copings such as positive re-interpretation and growth (0.74 [0.69, 0.79]), problem engagement (0.89 [0.86, 0.93]), and support seeking (0.96 [0.93, 0.99]) and all of social support types (family [0.75 (0.70, 0.80)], friends [0.90 (0.85, 0.95)] and others [0.80 (0.75, 0.86)]) were protective. Avoidance was risk factor for both of anxiety (1.19 [1.12, 1.27]) and depression (1.22 [1.16, 1.29]). Conclusion: This study shows active coping styles and perceived social supports particularly positive re-interpretation and family social support are protective factors for depression and anxiety.