Background: Psychological distress has been frequently reported in individual autoimmune diseases, but evidence regarding shared psychological characteristics across heterogeneous autoimmune conditions remains limited. Objective: This study compared stress vulnerability, exposure to major life events, state and trait anxiety, and Type A behavioral characteristics between adults with autoimmune diseases and controls. Methods: This cross-sectional case–control study included 389 adults: 204 patients with autoimmune diseases and 185 controls. Participants completed the Stress Vulnerability Scale, Holmes–Rahe Life Stress Inventory, State–Trait Anxiety Inventory, and Jenkins Activity Survey. Between-group differences, effect sizes, and correlations among psychometric variables were examined. Results: Patients with autoimmune diseases had significantly higher stress vulnerability scores (Cohen’s d = 0.39) and Holmes–Rahe life-event burden (d = 0.54) than controls. State anxiety (d = 0.52) and trait anxiety (d = 0.68) were also higher (all p < 0.001). Type A behavioral characteristics did not differ significantly between groups. State and trait anxiety showed the strongest correlation (r = 0.755, p < 0.001). Disease duration was positively associated with Holmes–Rahe scores but not with stress vulnerability or anxiety. Conclusions: Adults with autoimmune diseases showed a higher psychological burden across several complementary psychometric dimensions. These findings support consideration of psychological screening within multidisciplinary autoimmune disease care. Longitudinal and disease-specific studies integrating biological, psychological, and social factors are required to clarify temporal and potentially bidirectional relationships.