The coping strategies used by students play a key role in their psychological well-being. This study examines the relationship between coping strategies and psychological well-being in a sample of 98 undergraduates aged between 19 and 42 years. Coping strategies were evaluated by means of the CRI-A (Moos, 1993), while psychological well-being was assessed using the BSI (Derogatis and Spencer, 1982). The results show a relationship between coping style and psychological well-being. Approach coping strategies as problem solving in teacher education students had a beneficial effect on symptoms of depression, phobic anxiety and overall level of psychological distress. In contrast, cognitive avoidance coping are associated with greater presence of psychological symptoms indicating distress. And behavioural avoidance strategies (search for alternative rewards and emotional discharge) were associated with negative psychological well-being. Coping strategies may help to reduce psychological distress in university students. Specifically, approach-oriented coping is associated with positive scores for psychological well-being, and avoidant emotion-focused coping--above all, behavioural avoidant coping--may be a strong predictor of psychological distress.