The current study examined: (1) the associations of COVID-19 stress with anxiety and depression and whether those associations differed by gender or grade level; and (2) how different coping strategies mitigated the associations of COVID-19 stress with anxiety and depression. During remote learning due to COVID-19, data were collected from 2,738 students in fourth through twelfth grade in a suburban midwestern U.S. school district on stress associated with COVID-19, symptoms of anxiety and depression, and coping strategies. Secondary students and females reported more symptoms of anxiety and depression and more use of coping strategies. Schoolwork Stress was associated with anxiety and depressive symptoms for all students, with additional associations found between various stressors and symptoms developmentally. Finally, more Self-Distraction coping was associated with higher symptoms of anxiety and depression. Positive Reframing and depressive symptoms were negatively associated. The coping strategy of Self-Distraction exhibited a small, significant buffering effect on the association between Schoolwork Stress and depressive symptoms. Students used less Self-Distraction at higher levels of social isolation stress and higher anxiety or depression and more self-distraction when anxiety and social isolation stress was lower. Implications for the reopening of schools and future quarantine and remote learning settings are discussed.