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This study explores the mediation effect of gender role orientation on the influence of sex on emotional coping and instrumental coping, and how the mediation effects differ across the two cultures of the U. S. and China. A total of 478 respondents (243 Americans and 235 resident Chinese) participated in this study. Employing Hayes’ (2014) process for testing moderated mediation models using conditional process analysis, we found that femininity mediates the influence of sex on both emotional and instrumental coping and the mediation effects were significantly different between American participants and Chinese participants. We also found that national culture moderated the influence of sex on coping strategies when gender role orientation being held constant. In addition, we found that compared to American men, Chinese men score significantly lower on masculinity. This study adopts an integrated model of sex, gender role orientation, culture, and coping. This model allows us to examine both general and specific relationships among interested variables, which contributes to existing literature in several ways.