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PurposeThe purpose of this paper is to investigate the moderating roles of two distinct styles of coping and decision latitude on the relationship between three facets of role stress and psychological strain in six national contexts.Design/methodology/approachThe objective of the research is to examine the relative predictive efficacies of three theory specific moderators in six countries which differ on the cultural dimension of individualism‐collectivism. The data are analyzed using moderated regression analysis.FindingsThe results show that problem‐focused coping is a better moderator in the individualistic countries and that emotion‐focused coping is a better moderator in the collectivistic contexts. None of the three moderators moderate the relationships in Germany and South Africa – the two countries which had scores in the mid‐range of the individualism‐collectivism continuum. Findings are discussed for their significance into the interplay of cultural variations and coping with work stress in predicting psychological strain or distress on the job.Practical implicationsPractical implications for managing human resources in various subsidiaries of multinational and global organizations are discussed.Originality/valueThis paper confirms existing theories and expands the authors' understanding of role stress and psychological strain in different cultural contexts.