Chronic stress is a major risk factor for a number of mental health disorders, including depression and pathological anxiety. Adaptive cognitive emotion regulation (CER) strategies (i.e. positively-focused thought processes) can help to prevent psychiatric disturbance when enduring unpleasant and stressful experiences, but little is known about the inter-individual factors that govern their success. Sleep plays an important role in mental health, and may moderate the effectiveness of adaptive CER strategies by maintaining the executive functions on which they rely. In this study, we carried out a secondary analysis of self-reported mental health and sleep data acquired during a protracted and naturally-occurring stressor – the COVID-19 pandemic – to firstly test the hypothesis that adaptive CER strategy use is associated with positive mental health outcomes and secondly, that the benefits of adaptive CER strategy use for mental health are contingent on high-quality sleep. Using established self-report tools, participants estimated their depression (N = 551) and anxiety (N = 590) levels, sleep quality and tendency to engage in adaptive and maladaptive CER strategies during the Spring and Autumn of 2020. Using a linear mixed modelling approach, we found that greater use of adaptive CER strategies and higher sleep quality were independently associated with lower self-reported depression and anxiety. However, adaptive CER strategy use was not a significant predictor of self-reported anxiety when accounting for sleep quality in our final model. The positive influence of adaptive CER strategy use on depression was observed at different levels of sleep quality. These findings highlight the importance of adaptive CER strategy use and good sleep quality in promoting resilience to depression and anxiety when experiencing chronic stress.