Background: Although the experience of stress and associated coping responses are thought to play a role in the onset of schizophrenia and other psychotic disorders, there is little empirical evidence to support such a relationship. The relatively recent development of validated and reliable criteria for identifying young people at “ultra” high-risk (UHR) of psychosis has enabled the process of illness onset to be studied more closely than was previously possible. Method: This longitudinal study compared the experiences of stress and coping between a UHR cohort (N = 143) and a healthy comparison group (HC group, N = 32). Results: The UHR group experienced significantly fewer life events over a 12-month period than the HC group, but there was no difference in the experience of minor events or “hassles”. However, the UHR group reported feeling significantly more distressed by events, felt they coped more poorly and utilized different coping strategies. Conclusions: The appraisals made about stressors differentiated the groups and was associated with differences in coping and distress levels. This suggests that treatment strategies focusing on stress management and enhancing coping skills might be important components of preventive interventions.