This study investigated whether coping style, measured by the level of defensive pessimism (i.e., ruminating about worst-case scenarios when under stress) mediates the experience of stereotype threat. Women in an introductory psychology course (N = 80) completed a measure of defensive pessimism before participating in the study. During the study session, the women were told they were to take a math test. The description of the purpose of the test was manipulated. Half of the women were told this test is evaluative of your mathematical ability and that womens scores would be compared with those of men (high threat). The other women were told this test is evaluative of your personal mathematical ability. Previous scores on this test have shown no gender or racial differences in test scores (low threat). Participants were then given 30 minutes to complete a mathematics test designed to require 60 minutes to complete. Test performance was affected by both levels of defensive pessimism and the manipulation of threat. Women high in defensive pessimism performed better in the high threat than the low threat condition. However, women low in defensive pessimism performed better under low threat than under high threat. These findings indicate the importance of considering how coping styles (optimistic vs. pessimistic) in understanding how performance might be affected by stereotype threat.