The main purpose of this study was to examine the mediating effect of coping style on the relationship between gratitude and psychological adjustment. In current study, we conducted a survey of 246 undergraduate’ students in Taiwan. Using structural equation modeling (SEM), this study examined the relationship between gratitude and psychological adjustment mediated by the condition of coping style. Two main results of this study were (1) active coping style (including problem-focused and emotion-focused) fully mediated the relationship between gratitude and psychological adjustment; (2) emotion-focused passive coping fully mediated the relationship between gratitude and psychological adjustment, but problem-focused passive coping didn’t have the significant mediating effect on them. The implications of the findings, limitations and future research directions were discussed at the end of this paper.