In the modern world, the growing uncertainty becomes a challenge for coping behavior as the current global changes bring about adaptive transformations in people. One’s coping strategies depend on one’s attitude towards uncertainty, which expresses itself via the construct of tolerance / intolerance to ambiguity. Coping strategies, in their turn, define the way one’s psychological adaptation unfolds under stress. The research objective was to determine the relationship between the coping pattern and the level of ambiguity tolerance in young people. The study involved 81 people aged 17–39 (22.48 ± 5.34 y.o.). Such coping strategies as accepting responsibility, avoidance, planful problem solving, and positive reassessment demonstrated a correlation between the coping behavior pattern and the ambiguity tolerance. In some cases, the strategy of accepting responsibility lost its adaptive focus. Adaptive and maladaptive coping strategies were used to describe the relationships between the level of frustration and subjective well-being. The research revealed a strong connection between ambiguity tolerance and frustration, as well as between ambiguity tolerance and subjective well-being. The article also introduces an analysis of self-reports made by the respondents regarding their emotional and subjective assessment of ambiguity tolerance.