Maladaptive coping may play an important role in the manifestation of symptoms, functioning, and overt psychosis onset in individuals at ultra-high risk (UHR) for psychosis. To determine the factors associated with coping strategies, the relationships between cognitive appraisals and coping styles were investigated in UHR individuals. Sixty-five UHR individuals and 83 healthy controls were assessed for coping styles and cognitive appraisals of attribution bias as a primary appraisal and self-efficacy and perceived social support as a secondary appraisal. UHR participants relied more on a passive, tension-reduction coping style and less on an active, problem-focused coping style. These maladaptive coping styles in UHR individuals were significantly associated with their cognitive appraisals of stress. Aberrant attribution style of hostility perception and composite blaming bias were associated with problem-focused coping and tension-reduction, respectively. Perceived social support was related to problem-focused coping, seeking social support, and wishful thinking. General self-efficacy was associated with problem-focused coping. Our findings suggest that cognitive appraisals themselves may be the major determinants of coping styles in UHR individuals. The identified attribution styles, perceived social support, and self-efficacy may provide some clues regarding specialized interventions for the buildup of adaptive coping strategies in UHR individuals.