The disappearance of significant others is associated with an increased risk of prolonged grief disorder (PGD), post-traumatic stress disorder (PTSD), and major depressive disorder (MDD). Enhancing knowledge about cognitive-behavioral correlates of PGD, PTSD, and MDD may generate valuable information for developing interventions for relatives of missing persons. We aimed to examine whether prior findings, indicating that cognitive-behavioral variables are related to distress among bereaved individuals and generalize to relatives of missing persons. Relatives of missing persons (n = 134) completed self-report measures of negative cognitions, avoidance behaviors, PGD, PTSD, and MDD. Multilevel analysis was used. Cognitive-behavioral variables explained 40 to 60% of the additional variance in PGD, PTSD, and MDD levels over and above sociodemographic variables. Similar to bereaved individuals, relatives of missing persons who tend to engage in negative cognitions and avoidance behaviors are more likely to experience elevated psychopathology levels. Addressing cognitive-behavioral variables in treatment may be beneficial.