The COVID‐19 lockdown experience is a unique and unexpected stressful life situation. In our research project, we explored gender differences in the mean level of stress appraisal (SAQ), the frequency of stress coping strategies (COPE), and the sense of coherence (SOC), as well as gender differences in the strength of the relationships between SAQ, COPE, and SOC during the COVID‐19 lockdown. Finally, we tested if stressor appraisal (as a threat, harm/loss, or challenge) mediates the relationship between SOC and COPE in women and men respectively. Data were collected during the first wave of the COVID‐19 lockdown in Poland in 2020. An online survey was conducted among 326 adults aged between 18 and 72. We observed gender differences in the level of SAQ, COPE, and SOC and gender differences in the significance and strength of the correlations between these variables. SOC had a twofold effect on COPE in men: direct and indirect through SOC‐threat and SOC‐harm/loss. In women, SOC did not directly predict COPE frequency but affected COPE in an indirect way through SAQ. SAQ is an important factor that modifies the strength of the SOC effect on COPE in women and men during the lockdown.