It is unclear which theoretical dimension of psychological stress affects health status. We hypothesized that both distress and coping mediate the relationship between socio-economic position and tooth loss. Cross-sectional data from 2915 middle-aged adults evaluated retention of < 20 teeth, behaviors, psychological stress, and sociodemographic characteristics. Principal components analysis of the Perceived Stress Scale (PSS) extracted 'distress' (a = 0.85) and 'coping' (a =0.83) factors, consistent with theory. Hierarchical entry of explanatory variables into age- and sex-adjusted logistic regression models estimated odds ratios (OR) and 95% confidence intervals [95% CI] for retention of < 20 teeth. Analysis of the separate contributions of distress and coping revealed a significant main effect of coping (OR = 0.7 [95% CI = 0.7-0.8]), but no effect for distress (OR = 1.0 [95% CI = 0.9-1.1]) or for the interaction of coping and distress. Behavior and psychological stress only modestly attenuated socio-economic inequality in retention of < 20 teeth, providing evidence to support a mediating role of coping.