The aim of the research was to investigate the relationship between attachment to pets, coping self-efficacy and depression, as well as look at the differences between pet owners and non-owners on levels of depression. Gender and marital status differences between pet owners and non-owners on levels of coping self-efficacy were explored. Study consisted of 112 participants (31 male, 81 females, 86 pet owners and 26 non-owners). An on-line survey, using cross-sectional mixed design, consisted of PAS pet attachment questionnaire, DASS21 depression scale and Coping self-efficacy scale. The results showed that high depression was associated with low coping self-efficacy and low attachment to pets, however no relationship between coping self-efficacy and attachment was found. No differences were found between pet owners and non-owners on depression, as well as no gender or marital status differences on coping-self-efficacy. Longitudinal qualitative research is required to further investigate gender, marital status differences on pet attachment.