This study investigated the relationship between threat appraisal, distressful reactions, and coping strategies of Israeli civilians under missile attack during the Gulf War. During the war, 66 subjects were asked about their perceived probability of being hurt by the missiles. Additionally, they completed a questionnaire that measured their fears and symptoms during the war, the State Anxiety scale of the Endler Multidimensional Anxiety Scales, and the Coping Inventory for Stressful Situations (CISS, Endler & Parker, 1990). The results showed an inverted U-shaped relationship between perceived probability of being hurt and the anxiety measures. A similar curvilinear relationship was found between perceived probability of being hurt and emotion coping strategy. Furthermore, it was found that those who appraised the possibility of being hurt as very high, more often used avoidance coping. The results are discussed within the framework of stress theories and are related to other inverted U-shape relationships found between threat appraisal and stressful reactions.