Empirical evidence relying primarily on questionnaire reports indicates parent coping socialization messages play an important role in children's psychological functioning. The present study utilized a multi-informant, multi-method design to build on previous coping socialization research in childhood and adolescence. A novel coding system was developed to measure observed parental socialization of coping messages from observations of a discussion-based peer stress task. Questionnaires and direct observations were obtained from mothers with and without a history of depression (N = 116; 50% with a history of depression) and their children (9 to 15 years). Observed maternal coping socialization messages were not significantly correlated with mother or child reports of child internalizing symptoms in bivariate analyses. However, in multiple linear regression analyses, current maternal depressive symptoms and children's level of peer stress emerged as significant moderators of the association between observed maternal coping socialization messages and children's internalizing symptoms. The conceptual and methodological contributions of the current study are discussed, limitations and strengths are noted, and implications for future research are outlined.