This article studies the connection between existential concerns and the belief in a just world. We hypothesized that people who cannot cope with the threat to their belief in a just world will face existential concerns. To justify this hypothesis, we used a mixed-methods approach starting with a qualitative part and followed by a quantitative one. The qualitative part involved in-depth interviews with individuals (N = 31, ≈ 3.5 hr per interview) who have experienced situations perceived as unjust. The analysis of the interviews revealed that the experiences of unjust events actualize existential anxiety causing participants to confront existential problems that arose. For the quantitative part, we used the scales measuring existential concerns and the belief in a just world for several groups (500 participants in total; all—Russians) that had different strategies to cope with a critical event. The results demonstrated that participants facing threats to their belief in a just world had higher levels of existential anxiety. The effect size between the groups is large or medium depending on the scale.