Unethical pro-organizational behavior (UPB), which threatens the sustainable development of enterprises, has become important research content in organizational management in recent years. Based on the framework of challenge–hindrance stressors, we explored the effect of stress on UPB from an emotional perspective. Multi-mediation models were constructed to reveal the relationship between stressors (challenge and hindrance stressors) and UPB, and the mediating roles of individual anxiety, attentiveness, and anger. The results of 375 questionnaires indicated that challenge stressors had no significant relationship with UPB due to the presence of the suppression effect. Challenge stressors had a positive effect on UPB through anxiety and a negative effect on UPB through attentiveness. Hindrance stressors had a positive effect on UPB through the mediation of anxiety and anger. Managers can benefit from the findings to correctly cope with employees’ emotional reactions and unethical behaviors caused by work stress, and take appropriate management measures to reduce and prevent employees’ UPB.