Psychosocial working conditions such as long work hours, low job control, and work–life imbalance faced by construction professionals in site management positions subject them to elevated work stress and poor mental health. This study explored the protective ability of resilience and coping strategies in mitigating mental ill-health among construction supervisors in Nigeria. By adopting a mixed methodology, validated psychometric instruments were used to collect data from 174 construction supervisors, and semi-structured interviews involving 13 participants were used to understand better how supervisors cope with stress. The quantitative data were analysed using mean and univariate logistic regression, while qualitative data were thematically analysed. Univariate logistic regression revealed that individual resilience and problem-focused coping (PFC) strategies related to planful problem-solving, positive reappraisal, and seeking social support reduced anxiety symptoms. Aside from the coping skill considered in the quantitative survey, two additional skills adopted by the supervisors were deduced following thematic analysis. On average, the respondents’ depression, anxiety, and resilience levels were within the mild, minimal, and normal range, respectively. Resilience moderated the relationship between coping skills and anxiety by showing that a stronger relationship between the coping strategy and anxiety will be observed among people with a high level of resilience. Resilience, planful problem-solving, positive reappraisal, and seeking social support coping behaviours are significant predictors of mental health. This study highlights the need for resilience-building as an integral part of stress-reduction and management interventions aimed at construction supervisors in the construction industry.