This study investigated gender differences in anxiety and coping styles under the stress of intense military training. We surveyed Chinese female (n = 470) and male (n = 379) military officers who were surveyed during the third month of a 10-month intensive training program. Results indicated that state and trait anxiety were highly correlated in both women and men. In general, female officers had higher levels of anxiety, greater negative coping tendencies, and less perceived self-efficacy than their male counterparts. When compared with the norm, both women and men had significantly more positive coping strategies. A hierarchical multiple regression analysis showed factors that influenced male and female state anxiety. Avoidance, which was chosen by women more often than men, in general was less useful for female officers. The most common positive coping style for female officers was problem solving, whereas for men it was help seeking. We suggested that even female officers with lower mental health levels than their male counterparts made active cognitive changes to their coping styles when undergoing intense military training.