Coping can buffer the effect of stress on well‐being. Information about factors predicting coping is essential knowledge for developing programs to promote effective coping among older people with dementia and serves as basic knowledge for further study. A cross‐sectional study design was employed to investigate the associated and predictive factors of coping. The factors were derived from the Stress Process Model for people with dementia. A group of 364 participants was determined by power analysis and purposively selected from out‐patient dementia clinics of hospitals in Thailand. Data were collected from interviews using questionnaires and were analyzed using Spearman's rank correlation coefficient and the enter method of multiple regression analysis. With reference to the conceptual framework of the Stress Process Model, the results revealed that three background and context factors (gender, personal income, and relationships with family members), two stressor factors (cognitive ability, and self‐esteem), and four mediator factors (optimism, hope, hardiness, and perceived social support) were significantly related to coping. Of the variation in coping scores, 47% could be explained by hope, perceived social support, cognitive ability, and gender.