The aim of this study was to investigate interrelationships among the identity negotiation styles that people use, the cognitive and behavioural strategies they deploy, and their sense of subjective well-being. To examine this, 198 American and 109 Finnish college students completed the Identity Style Inventory, the Strategy and Attribution Questionnaire, Rosenberg’s Self-esteem Scale, and the revised Beck’s Depression Inventory. Results showed that people with an information-oriented identity style reported the highest level of self-esteem, those with a normative style had the most stable self-conceptions, and those with a diffuse/avoidant style displayed the highest level of depressive symptomatology. Moreover, dysfunctional cognitive and attributional strategies, such as expecting to fail and engaging in task-irrelevant behaviour, were associated with low self-esteem, unstable self-conceptions, and depressive symptomatology. Finally, the associations between identity processing styles and well-being were found to be mediated by the cognitive strategies that people deploy.