We investigated how psychological capital affects employees’ cognitive appraisal of stress in the workplace. We conducted a three-wave longitudinal survey with 372 Chinese employees and obtained the following results: First, psychological capital buffered individual appraisals of hindrance stress. Second, low levels of challenging stressors were negatively related to individual appraisals of hindrance stress, whereas high levels of challenging demands were positively associated with these appraisals. Third, challenge stressors had an inverted U-shaped relationship with psychological capital and a U-shaped relationship with the process of appraising hindrance stressors. Fourth, psychological capital mediated the moderating effect of challenge stressors on hindrance stressors and hindrance appraisal. We discuss the theoretical contributions and practical applications of this research.