Women in the military work in a hypermasculine environment and may have experiences with gender microaggressions that contribute poorly to their mental health. In this quantitative study, the author assessed active duty U.S. military women’s (N = 683) reports of experiences with eight types of gender microaggressions (traditional gender roles, sexual objectification, second class citizen, sexist language, explicit threat to physical safety, implicit threat to physical safety, invalidation of sexism, and environmental; Capodilupo et al., 2010). Participants reported around a little or rarely having experiences with such microaggressions. Exploratory analyses demonstrated that Navy and junior enlisted women reported significantly higher frequencies of gender microaggressions compared to other groups. Using hierarchical regression analysis, controlling for general levels of stress, branch, rank, and sexual orientation, the author also examined whether the eight gender microaggressions explained scores on a measure of depression. Results suggested that only second class citizen explained a significant proportion of variance in depression. Therefore, the author examined whether coping style moderated the association between the gender microaggression subscales and depression as proposed. Results indicated problem focused engagement and emotion focused disengagement both moderated the link between second class citizen and depression. Findings from the current study have the potential to inform military programs, specifically around bringing awareness to subtle forms of sexism and ways to engage in coping. Limitation and directions for future research also are discussed.