We conducted a study to test the effectiveness of an executive cognitive-behavioral coaching program in enhancing managerial stress resilience and performance during the financial recession. Our sample consisted of 59 middle and top-managers from an Italian multinational banking group. Results suggest that the program was effective in helping managers to improve their performance, manage their distress and depressed mood. We found that changes in irrational beliefs and rational beliefs after the program can function as mechanisms for both managing depressed mood and boosting managers’ performance levels.