The aim of the present study was to investigate if bullied nurses have a more negative coping style when facing stressful events than do non-bullied nurses, and to determine if coping style moderates the well-established bullying-anxiety relationship. Cohort data were gathered in 2008/2009 and 2010 with a time lag of approximately one year for all respondents. At T1 2059 Norwegian nurses participated, whereof 1582 also responded at T2. A t-test and a hierarchical regression analysis were conducted to obtain results for the hypothesized relationships. The results show that bullied nurses use an active goal-oriented coping style less often compared to non-bullied nurses. Furthermore, active goal-oriented coping seems beneficial only when exposure to bullying behaviors is very low. This effect diminishes however as the bullying behavior intensifies. Hence, victims of bullying seem to cope more negatively with stressful events than do others. On the other hand, high exposure to bullying behaviors has negative consequences for the subsequent level of anxiety for those affected, regardless of their general coping style.