Existing psychological research has long considered humor as a useful strategy for individuals in coping with adverse circumstances and life stressors. However, empirical studies are called for to better understand the role of humor in facing the COVID-19 pandemic. In a community sample of 527 Spanish adults, we investigated the associations between humor styles, perceived threat from COVID-19, funniness of COVID-19 memes, and individuals’ affective mood. Data were collected during the third week of lockdown in Spain (from 26 to 31 March 2020). Our results suggest that intrapsychic humor styles were associated with better coping with the COVID-19 pandemic. Structural equation modelling showed that self-enhancing and aggressive humor styles were related to perceiving COVID-19 as less psychologically threatening, which, in turn, was associated with a greater perceived funniness of COVID-19 memes, thus predicting higher levels of happiness. Interestingly, the opposite pattern of connections was found for self-defeating humor. These findings suggest that humor styles aimed at boosting one’s own self, irrespective of their potentially lighter or darker nature, may contribute to alleviating adverse psychological consequences arising from the COVID-19 pandemic.