Although test scores from similar tests in multiple choice and constructed response formats are highly correlated, equivalence in rankings may mask differences in substantive strategy use. The author used an experimental design and participant think-alouds to explore cognitive processes in mathematical problem solving among undergraduate examinees ("N" = 64). The study examined the effect of format on mathematics performance and strategy use for male and female examinees given stem-equivalent items. A statistically significant main effect of format on performance was found, with constructed-response items more difficult. The multiple-choice format was associated with more varied strategies, backward strategies, and guessing. Format was found to moderate the effect of problem conceptualization on performance. Results suggest that while for purposes of ranking students on performance, the multiple-choice format may be adequate, for many contemporary educational purposes that seek to provide nuanced information about student cognition, the constructed response format should be preferred. (Contains 5 tables.)