Individuals bereaved by suicide experience substantial emotional distress and are at risk for poorer mental health, substance use concerns, and suicidal behaviors. This study aimed to explore whether those bereaved by suicide reported different coping styles compared to those bereaved by sudden death in the first six months. It also aimed to determine whether a previous mental health diagnosis (PMHD) and experiencing stigma and/or shame impacted the utilization of adaptive and maladaptive coping. The sample was constituted by individuals bereaved by suicide (n = 142) compared to those bereaved by sudden death (n = 63), six months after loss. The study included immediate family members who were 18 years or older and understood the English language. After controlling for demographics there were no significant differences in coping styles between bereavement types. Regardless of bereavement type, having a PMHD was associated with increased avoidant and problem-focused coping, and stigma and shame were each associated with increased avoidant coping. Women were also more likely to report using adaptive coping. Findings demonstrate no difference by bereavement type and have implications for the tailoring of grief/postvention supports that are sensitive to perceived stigma/shame to better facilitate utilization of adaptive emotion-focused coping, particularly for men and those with pre-existing mental health problems.