Theory and research have focused on the relationships among coping processes, stressful life events, and psychological and physical distress. This study was designed to examine the relationship of stressful life events and three styles of coping—emotion oriented, task oriented, and avoidance oriented—to physical and psychological distress. Questionnaires measuring coping styles, recent life stressors, and both physical symptoms and psychological symptoms were completed by 205 undergraduates (101 males and 104 females). It was hypothesized that task‐oriented coping would negatively predict distress and that emotion‐oriented coping would positively predict distress. The relationships of two types of avoidance‐oriented coping (distraction and social diversion) to distress were also examined. Multiple regression analyses revealed that task‐oriented coping was negatively related to distress, but only for males. Emotion‐oriented coping was significantly positively predictive of distress for both males and females. The two subcomponents of avoidance‐oriented coping—distraction and social diversion—were differentially related to measures of distress. Life event stress positively predicted distress, both as an independent contributor of variance and in interaction with several coping styles.