The aim of this study was to verify the association between maladaptive daydreaming (MD) with psychopathological distress (subjective well-being, problems, functioning and risk behaviors) and coping strategies in stressful situations and to examine whether the levels of MD and gender can predict levels of psychological distress and the preferred coping strategies. The participants were first-year students at the University Department of Health Studies, University of Split (N = 80) with an average age of 21.2 years. The following measurement tools were used: Maladaptive Daydreaming Scale (MDS), The Coping Inventory for Stressful Situations (CISS), and the Clinical Outcomes in Routine Evaluation – Outcome Measure (CORE OM). Significant positive correlations were determined between maladaptive daydreaming and both the Problems and the Risky behaviors criteria according to CORE-OM. Maladaptive daydreaming was also positively associated with Emotion oriented coping strategies and negatively associated with Problem-oriented coping strategies in CISS. The respondents who were more inclined to maladaptive daydreaming had a greater likelihood of exposure to different mental problems and the development of risky behaviors, with less efficient coping strategies. The regression analyzes confirmed the predictive significance of maladaptive daydreaming for the level of psychological distress and the choice of coping mechanism for dealing with stressful situations. Male gender predicted higher levels of risky behaviors.