This study examined the relationships between parents' catastrophising about their infants' pain, parental self-efficacy in the management of their infants' pain, perceived social support and the parental coping strategies for their infants' pain-related stress. Preterm infants hospitalised in the neonatal intensive care unit experience painful procedures causing stress to their parents. Coping with stress may be emotion- or problem-focused. Adults' coping with their own pain has been associated with pain catastrophising, pain management self-efficacy and social support. However, little is known about the associations between parents' catastrophising, their self-efficacy to manage, their perceived social support and their coping strategies when dealing with their infants' pain. This was a cross-sectional, correlational study design. The STROBE guidelines for cross-sectional studies were followed. Participants included 149 parents of preterm infants hospitalised in a neonatal intensive care unit. They completed measures to assess infant pain catastrophising, self-efficacy regarding infant pain management, social support and emotion- and problem-focused coping. Positive associations were found between parental self-efficacy regarding infant pain management, social support, parental catastrophising about their infants' pain and problem-focused coping. Parental catastrophising was positively associated with emotion-focused coping. Gender moderated the relationships between parental self-efficacy regarding infant pain management and emotion-focused coping. Specifically, amongst mothers, the higher their level of self-efficacy, the lower their emotion-focused coping. Amongst fathers, the relations were reversed. Parents coping with their preterm infants' pain were associated with catastrophising about their infants' pain, self-efficacy regarding infant pain management and social support. Mothers had different ways to cope emotionally to that of fathers in relation to their self-efficacy in managing their infants' pain. Nursing interventions that provide support to parents and promote parental self-efficacy in managing their infants' pain may allow parents to more effectively cope with their infants' pain. Patients or public were not involved in setting the research question, the outcome measures and the design or implementation of the study. Parents of preterm infants answered the research questionnaires.