This study examined the association between relationship styles, coping strategies, and psychological distress among 144 Anglo-Australian and 250 Hong Kong Chinese undergraduate students. The results indicated that relationship styles (secure, clingy, and fickle) influenced psychological distress through their association with coping strategies (avoidance and self-punishment). Society of residence was a moderating factor for the association between clingy relationship style and psychological distress. Females also reported higher levels of psychological distress than males. Among participants who had experienced a romantic relationship break up, participants endorsing clingy relationship style and those whose partners initiated the break up expressed more hurt in comparison, whereas those who endorsed avoidance strategy reported less hurt. The results of the present study also suggested that psychosocial variables (relationship styles, coping strategies) were generally more important than demographic factors (e.g., age) in predicting mental health outcomes. However, relationship styles and coping strategies may operate differently under different contexts.