In this study, we examined the influence of the Big Five personality dimensions (Neuroticism, Extraversion, Agreeableness, Conscientiousness, and Openness to Experience) on the appraisal (intensity, control) of a self-selected stressor, coping, and perceived coping effectiveness. Participants were 482 athletes (305 males, 177 females) who played a variety of sports. Results indicate that the Big Five dimensions influenced coping selection, coping effectiveness, stress intensity, and perceived control of the stressors, but not the type of self-selected stressor. In particular, Neuroticism predicted higher stressor intensity and Agreeableness lower stressor intensity. Neuroticism predicted lower perceived stressor control and Conscientiousness higher perceived stressor control. Higher levels of Neuroticism were directly and indirectly associated with more emotion and avoidance coping strategies and less problem-focused coping strategies. The other four personality dimensions were also associated with the selection of coping strategies that were perceived to be effective. This study provides support for the notion that the Big Five personality dimensions directly influence appraisal, coping, and coping effectiveness among the sample. Coping was also influenced indirectly by personality through the appraisal process. The Neuroticism dimension was found to be associated with the selection of less adaptive coping strategies and lower levels of reported coping effectiveness. The other four personality dimensions were associated with more adaptive coping strategies that were rated as effective.