The modern pace of life and requirements for personality that are presented in this regard require quick and effective coping with stress factors using coping behavior. The article describes and analyzes an empirical study of the ethno-psychological characteristics of coping behavior among the representatives of Russian and Ossetian ethnic groups. A comparative analysis of the socio-psychological differences in coping behavior among men and women was also carried out. A comparative analysis of the socio-psychological differences in coping behavior was carried out. The sample of the study was 160 people from the Republic of North Ossetia-Alania at the age of 25 to 55, and the average age was 33.5. It has been established that more often the representatives of the Russian ethnos use problem-oriented coping, and the Ossetians use emotionally-oriented coping. Significant differences between men and women in the preferred coping strategies are described. In a stressful situation men are more prudent and inquisitive than women. On the other hand, women more often deny what happened refusing to believe it or trying to reject its reality. Avoidance coping is more common among men regardless their ethnicity. The obtained results contribute to the enrichment of scientific ideas on the problem of the influence of cross-cultural and gender factors as well as age ones on the process of coping behavior formation. The study outcomes can also be applied in developing recommendations on implementing national policies in the republics of the North Caucasus. The identified data may be used as starting points in organizing social and psychological services in multicultural regions as well as in developing training programs in stress psychology, personality psychology, ethnic psychology and developmental psychology.