The wider stress literature points to negative associations between stress and well‐being. Similarly, the use of engagement coping strategies and disengagement coping strategies in the face of stress are related to improved and reduced well‐being respectively. However, in the autistic population stress and coping research is limited to date, and the extent to which coping may moderate the relationship between stress and well‐being is not known. Using data from an Australian online study, we explored the potential moderating (i.e. buffering or exacerbating) role of coping in the relationship between stress and well‐being in a sample of autistic adults (N = 86). Our findings indicated that increased stress was associated with lower well‐being. Further, moderation analyses showed that while both engagement coping (e.g. problem solving, positive appraisal) and disengagement coping (e.g., self‐distraction, being in denial) strategies had significant positive and negative direct effects on well‐being respectively; engagement coping also moderated the relationship between stress and well‐being, buffering the impact of stress on well‐being. Our results illustrate the different underlying mechanisms by which coping strategies may be associated with stress and well‐being. They also highlight the potential protective role of engagement coping strategies, which can be incorporated into the promotion and maintenance of well‐being in autistic adults.