This experimental study aims to evaluate the effects of relaxation exercises on the ways of coping with stress and anxiety level in primiparous women diagnosed with preterm labor. The study included a total of 60 pregnant women who were admitted to the outpatients clinics of the Department of Obstetrics and Gynecology at a tertiary setting between November 2012 and February 2014. Of these women, 30 were allocated into the intervention group and 30 were allocated into the control group. The Pregnant Women Identity Information Form, Ways of Coping with Stress Inventory, and State-Trait Anxiety Inventory were used as data collection tools.The pregnant women in the intervention group achieved higher scores in the State-Trait Anxiety Inventory in the first assessment and lower scores in the final assessment, and the difference from baseline was significantly different (p<0.005). The women in the control group achieved lower scores in the State-Trait Anxiety Inventory in the first assessment and higher scores in the final assessment, and the difference from baseline was significantly different (p<0.005). The scores of pregnant women in the intervention group in efficient ways of coping subscale increased as from the baseline (p<0.005), whereas there was an increase in the scores of women in the control group in inefficient ways of coping subscale and the difference was statistically significant (p<0.005). Our study results suggest that relaxation exercises are effective in reducing anxiety and coping with stress in pregnant women with imminent premature labor.