Objective Recent evidence suggests that the way in which individuals relate to their aversive thoughts predicts behavioral effectiveness more than the content of such thoughts. This article is among the first to explore whether this is true for coping with stressful events. Method Three studies with emerging adults (Study 1, N = 202) and adults (Study 2, N = 201; Study 3, N = 141) tested whether changes in how individuals relate to their stress‐related thoughts, measured using the individual‐difference construct of cognitive defusion, predicted more approach and less avoidance coping behavior, controlling for stress‐related appraisals. Results We found that cognitive defusion predicted more approach coping (Studies 1 and 3) and less avoidance coping (Studies 2 and 3) following laboratory‐induced stress (Study 1), naturally occurring monthly stress (Study 2), and daily stress (Study 3). These effects occurred independently of the effects of threat appraisals (Studies 1–3) and self‐efficacy appraisals (Study 3) on coping responses. Conclusions Cognitive defusion may be an important individual‐difference predictor of coping behavior, adding to established theories of coping such as Lazarus and Folkman's (1987) transactional theory.