The coronavirus disease 2019 (COVID‐19) pandemic has caused both physical and psychological changes in the general public. The current study aimed to examine the relationship between well‐being and coping strategies in response to the pandemic. Furthermore, we aimed to investigate the mediational role of benefit finding. A total of 521 participants aged 18–65 years were recruited from 29 regions of mainland China. Situation‐specific coping strategies, including support seeking, personal hygiene practice and social distancing, were measured at Time 1. Benefit finding and well‐being were assessed 1 month later. A multilevel mediation model was conducted with region included in level 2 as cluster ID. Support seeking and personal hygiene practice were positive predictors of benefit finding, which further mediated their relationships with well‐being, while social distancing negatively predicted well‐being. These results highlight the relationships of support seeking, personal hygiene practice and benefit finding with well‐being during the COVID‐19 pandemic. Our findings indicate that besides adopting adaptive coping strategies to prevent infection by COVID‐19, individuals should be encouraged to recognize benefits associated with the COVID‐19 outbreak.