The messages mothers communicate to their children about coping may play an important role in children's emotional development by shaping children's responses to stress. Building on prior research demonstrating associations between maternal socialisation of coping (SOC) and children's self‐reported coping and emotional functioning, we examined the contribution of SOC to children's physiological responses to stress. Mothers completed a measure of SOC with peer victimisation. Children (N = 118; M age = 9.46 years, SD = .33) completed a measure of peer victimisation and participated in a laboratory social challenge task. Saliva samples were collected prior to and following the task and were assayed for alpha‐amylase (sAA), a marker of autonomic nervous system (ANS) activation. Hierarchical linear modelling analyses revealed that SOC contributed to sAA reactivity. Peer victimisation predicted greater sAA reactivity when mothers made few engagement suggestions (orienting towards stress and associated emotions and cognitions) but not when mothers made many engagement suggestions. Mothers' distress responses predicted greater sAA reactivity. These findings provide novel evidence that the messages parents communicate about coping have implications for children's physiological reactivity to stress during middle childhood.