Little research has explored the degree to which specific intervention components predict improved health outcomes for cancer patients and their family caregivers. The present study examined relations of intervention components (i.e., coping skills) to symptoms in a telephone symptom management (TSM) intervention delivered concurrently to symptomatic lung cancer patients and their family caregivers. Guided by Social Cognitive Theory (SCT) and cognitive behavioral therapy (CBT) frameworks, patient-caregiver dyads were taught coping skills including: a mindfulness exercise (i.e., noticing sounds and thoughts), pursed lips breathing, guided imagery, cognitive restructuring, and assertive communication. Symptom measures were administered at baseline and 2 and 6 weeks post-intervention. The measures assessed patient and caregiver depressive and anxiety symptoms as well as patient pain severity, distress related to breathlessness, and fatigue interference. Data were examined from patient-caregiver dyads enrolled in TSM (N = 51 dyads). Patients and caregivers were predominantly female (55% and 73%, respectively) and Caucasian (87%). The average patient was 63 years of age (SD = 8) and the average caregiver was 56 years of age (SD = 14). Seven autoregressive panel models tested relations of coping skills to symptoms. All models had at least adequate fit to the data (χ2 ps > 0.05, RMSEA values < 0.06). For patients, more assertive communication practice during the intervention was related to less pain severity, fatigue interference, and depressive and anxiety symptoms at 6 weeks post-intervention. Additionally, more guided imagery practice during the intervention was related to less fatigue interference and anxiety at 6 weeks post-intervention. In contrast, more cognitive restructuring practice during the intervention was related to more distress related to breathlessness and depressive and anxiety symptoms at 6 weeks post-intervention. Similarly, more practice of a mindfulness exercise during the intervention was related to more fatigue interference and anxiety at 6 weeks post-intervention. For caregivers, more guided imagery practice was related to more anxiety at 2 weeks post-intervention. All other pathways from coping skills to symptoms at 2 and 6 weeks post-intervention were non-significant for both patients and caregivers. Findings suggest intervention effectiveness may have been reduced by competing effects of certain coping skills. For lung cancer patients, future studies should consider focusing on assertive communication and guided imagery, as these two coping skills were most consistently associated with reduced symptoms. However, more studies are needed to better understand these findings and particular caution should be used when applying CBT-based interventions that have not been validated in lung cancer populations.