Based on cognitive stress theory we present a model that aims at explaining individual pro-environmental behavior: environmental stressors (e.g. pollution in domestic and work contexts), mediated via appraisal processes (demand appraisal, self-efficacy), activate problem-focused coping. This in turn leads to pro-environmental behavior in various behavioral domains (social engagement, private-sphere and workplace). Structural equation models were used to test the proposed model. Questionnaire data from Studies 1 and 2 suggest that the theory offers a good explanation of pro-environmental behavior. However, self-efficacy beliefs did not predict problem-focused coping or pro-environmental behavior. In a modified model, we hypothesized that with environmental problems as stressors, it would be collective (rather than individual) efficacy that determines coping attempts and pro-environmental behavior. Studies 3 and 4 found support for this modified model. Taken together the four studies lent support to our basic idea that appraisal processes activate problem-focused coping, which in turn leads to pro-environmental behavior.