Few studies have examined different perceptions of stress or explored the positive aspects of well-being among pregnant Chinese women, so there is a need to explore these phenomena in order to fill the research gap. The aim of this study was to examine the relationships among the different perceptions of stress, coping styles, and general well-being using a structural equation modeling approach. We examined a hypothetical model among 755 pregnant Chinese women based on the integration of theoretical models. The Perceived Stress Scale (PSS), the Trait Coping Styles Questionnaire (TCSQ), and the General Well-Being Schedule (GWB) were used to measure perceived stress, coping styles, and general well-being, respectively. A structural equation model showed that positive and negative perceptions of stress significantly influenced positive and negative coping styles, respectively. Different perceptions of stress were significantly associated with general well-being, but different coping styles had no significant effects on general well-being. The model had a good fit to the data (IFI = 0.910, TLI = 0.904, CFI = 0.910, and RMSEA = 0.038). Different perception of stress was able to predict significant differences in coping styles and general well-being.