Behavioral coping refers to the ability to modify behavior to escape from stress, and is protective against the development of depressive disorders. Omega-3 fatty acid (n-3 FA) intake is inversely correlated with anxiety and depression in humans. The objective of this study was to determine if consumption of n-3 FAs promotes adaptive coping behaviors in a multiparous rat model. Twenty female rats were randomly assigned to diets with or without n-3 FA containing menhaden oil or sunflower oil as the fat source, respectively. Rats experienced two cycles of gestation and lactation. Behavioral testing began on the second day after the last parturition. Rats consuming n-3 FAs displayed improved escape learning in the shuttle box test. Specifically, rats consuming n-3 FAs escaped footshock more quickly and had a greater number of successful escapes in the shuttle box than rats not consuming n-3 FAs. Diet did not affect general activity in the open field, but rats consuming n-3 FAs showed less reactivity and habituation to novelty in the open field than rats not consuming n-3 FAs. Immobility and swimming in the forced swim test, risk-taking assessed by the light/dark test, sucrose drinking, and motor coordination were not significantly affected by diet. A diet enriched with n-3 FAs promoted behavioral escape changes consistent with increased adaptive coping to stressful events, suggesting that n-3 FAs may help prevent the development of stress-related depressive disorders.