The aim of this study was to examine workers’ psychological distress during the COVID-19 pandemic as a function of their individual coping, dyadic coping, and work-family conflict. We also tested the moderating role of gender and culture in these associations. To achieve this aim, we run HLM analyses on data from 1521 workers cohabiting with a partner, coming from six countries (Italy, Spain, Malta, Cyprus, Greece, and Russia) characterized by various degrees of country-level individualism/collectivism. Across all six countries, findings highlighted that work-family conflict as well as the individual coping strategy social support seeking were associated with higher psychological distress for workers, while the individual coping strategy positive attitude and common dyadic coping were found to be protective against workers’ psychological distress. This latter association, moreover, was stronger in more individualistic countries.