Athletes are faced with various physical, technical, tactical and psychological demands during training and competition. Athletes' effective performance, achievement of set goals, and psychological well-being may depend on their ability to effectively cope with these demands. Precisely because of this, the aim of this research was to examine the contribution of mental toughness and anxiety in explaining coping strategies in sports. The research was conducted on a sample of 170 professional (N = 56), semi-professional (N = 60) and amateur (N = 54), male (N = 142) and female (N = 28), athletes who filled out the Mental Health Index, Sports Mental Strength Questionnaire, Sports Anxiety Scale, Sport Coping Strategies Questionnaire and other relevant data such as the sport they play, the years of playing sports and the level of the league in which they compete, via online Google Forms platform. The results showed the independence of coping strategies in sports on anxiety. General mental toughness, as well as dimensions of persistence and control, positively predicted problem-focused coping strategies. Coping strategies focused on emotions and avoidance were shown to be independent of mental toughness and its dimensions. Ultimately, mental toughness proved to be a moderator of the contribution of anxiety in explaining coping strategies focused on emotions and avoidance in athletes with low and medium mental toughness, while anxiety has no significant contribution in explaining coping strategies in sports in athletes with higher mental toughness. The results point to the importance of considering mental toughness in the framework of coping strategies in sports as well as in the relationship between anxiety and coping strategies in sports.