Proactive coping has been documented as a significant predictor of perceived stress. When facing stressful events, the more individuals use proactive coping strategies, the lower their stress level will be. However, there is still little research of possible latent factors participating in this relationship to explain how proactive coping can reduce of perceived stress, directly and indirectly. This study aimed to examine whether self-compassion can mediate the relationship between proactive coping and perceived stress among students. In a cross-sectional study carried out in 2019, we invited 384 undergraduate students in Hanoi (Vietnam) to voluntarily complete a self-report questionnaire that measured proactive coping, self-compassion and perceived stress scale. Results showed that proactive coping was positively related to level of self-compassion, and both proactive coping and self-compassion were negatively related to stress scores. The effect of proactive coping on stress was eliminated when self-compassion was controlled, showing the mediating role of self-compassion in the relationship between proactive coping and perceived stress score. Furthermore, among six factors contributing to the concept of self-compassion, data documented mediating role of “self-kindness,”“self-judgment,” and “mindfulness” while no mediating role of “common humanity,”“isolation,” and “over-identification” was observed. Among three mediating factors, mindfulness appeared to be the most important factor explaining the relationship between proactive coping and perceived stress. These results consolidate existing literature of the protective role of self-compassion on psychological health, and hence provide more support for the application of self-compassion, especially of mindfulness, in working with people with stress.