A clear disconnection exists between theory and research that postulates that affect and coping are embodied in a process that unfolds over time and are likely to be characterized by change and co-occurrence in changes. The use of a 2-wave cross-lagged panel investigation within a naturalistic achievement-related demanding situation allowed us to shed light on the issue of temporal ordering between affect and coping. A total of 601 participants completed a series of self-report questionnaires designed to assess affective states and coping strategies used by athletes within a naturalistic achievement-related demanding situation (sport competition) characterized by an anticipatory stage and a performance stage (just before and during competition, respectively). Structural equation modeling results showed that a lagged model in which affect predicted coping at a later time point fitted to the data better than did the simultaneous models (coping predicted affect within single stages or affect predicted coping within single stages), another lagged model (coping predicted affect at later time point), and the cross-lagged model (reciprocal relationship between coping and affect over time). In line with recent theoretical frameworks that have suggested that affect could be conceptualized as an antecedent of coping, our results highlighted that a lagged model in which affect influences coping emerged as the most parsimonious representation of the temporal ordering between affect and coping.