The purpose was to construct the Coping with job loss scale and to examine its construct validity. An extensive study was conducted in three steps: (1) According to previous research on coping strategies based on Lazarus’ transactional stress theory, recent research of coping with job loss, as well as a qualitative analysis of the experience of own work with unemployed persons in Croatia, a pool of items that describe the individual’s cognitions and behaviors after job loss was defined. (2) The preliminary version of the questionnaire was applied on a sample of unemployed persons (N=104). According to the parameters of descriptive statistics for the items and results of the factor analysis, the first version of the questionnaire was defined. (3) The questionnaire was applied on a new sample of unemployed persons (N=462) and the final version was defined – 26 items that define 4 coping strategies: proactive job search, occasional work, job devaluation and problem distancing. The relations between measured coping strategies and other variables were analyzed to test further the construct validity of the questionnaire. The results showed good metric characteristics of the questionnaire, factor analysis suggested four interpretable factors which correspond to four coping strategies, and each coping strategy subscale had acceptable internal reliability. Supposed relationships of demographic variables and cognitive appraisal variables with measured coping strategies were also confirmed.