In the present article, we analyzed the relationship between dispositional self-control capacity, trait anxiety, and coping styles. Since self-control is often crucial for adapting one’s behavior to be positive, we predicted that dispositional differences in the capacity to exert self-control play a role in determining individuals coping styles. To test this assumption, we assessed participants’ (N = 163) dispositional self-control capacity using the Self-Control Scale, and their dispositional coping styles by using the short version of the German Coping Questionnaire SVF78 (German: Stressverarbeitungsfragebogen). A path analysis supported our hypothesis; higher levels of dispositional self-control capacity were positively associated with positive coping style and negatively associated with negative coping style. Basing on attentional control theory, we further assumed that this relationship was mediated by trait anxiety. In a second study based on a sample of N = 98 participants, we additionally applied the trait version of the State-Trait Anxiety Inventory. The results of a path analysis revealed that trait anxiety mediated the relationship between dispositional self-control capacity and coping styles. The results suggest that it may be useful to take a closer look at the role of self-control in the anxiety-coping relationship.