Objective The sandwich generation represents adults, often in midlife, who care for both children and ageing parents/relatives. While the stress they experience has received some attention, little research has investigated the subjective well‐being (SWB) of this population. This study examined the relationship between perceived stress and SWB and the moderating effect of coping style. Methods Ninety‐three participants (80 women), aged 23–63 years, completed an online survey measuring perceived stress, coping strategies, life satisfaction and positive and negative affect. Results Stress was negatively associated with SWB. While emotion‐ and problem‐focused coping were directly associated with SWB outcomes, the only moderating effect found was for avoidance‐focused coping (AFC). Specifically, AFC was associated with higher positive affect for those reporting lower stress. Conclusion This study highlights the need to recognise the distinct circumstances that exist for the sandwich generation. Limitations and suggestions for future research are discussed.