This cross-sectional study aimed to determine the correlation between the coping styles and depression, anxiety, and stress levels of individuals living in Turkey during the COVID-19 pandemic. The study was conducted using an online questionnaire (Socio-demographic Form; Depression, Anxiety, and Stress Scale-21; Coping Styles Scale) and it included 483 individuals. Descriptive statistics, ANOVA, Independent Samples t-test, Kolmogorov-Smirnov, Hosmer-Lemeshow and Scheffe tests, Pearson Correlation, and Binary Logistic Regression analyzes were used to analyze the data. There was a negative correlation between the participants’ self-confident and optimistic coping styles mean scores and their depression, anxiety, and stress mean scores. There was a positive correlation between the participants’ helpless, submissive, and seeking social support coping styles mean scores and their depression, anxiety, and stress mean scores. The regression analysis revealed that using the helpless coping style increased the depression, anxiety, and stress levels of the participants while using the optimistic coping style and visiting a physician during the pandemic decreased them. In addition, seeking social support coping style increased the level of depression while the testing during the pandemic increased stress levels. As a result, it is recommended to strengthen society’s psychological resilience and expand mental health support services for such mental illnesses.