The aim of this study was to explore the relationship between possible violence suffered by female sex workers in their intimate relationships, with their affects, coping strategies, and emotional regulation to overcome such violence and improve their well-being. Structured personal interviews were carried out with female sex workers in three different settings: street, club, and flats. The sample was composed of 137 Spanish female sex workers (85.4% are foreign and 20% Spanish-born sex workers). High levels of tension and problems with their partners were linked to an affective imbalance and poor well-being. Positive affectivity determined the use of adaptive strategies, whereas negative affectivity predicted dysfunctional strategies. Three different path analyses and theoretical support concluded that self-control was the only strategy related to improve well-being in female sex workers who reported lower potential tension and difficulty in their intimate relationships. In contrast, inhibition was associated with an increase on distress levels when negative affectivity predominated and sex workers had reported potential tension and difficulty situations with their partners. It was a cross-sectional study, and thus we cannot infer causality or direction from the observed associations. Given these findings, violence prevention strategies in the intimate relationships should be prioritized in the prostitution context.