Aims and objectives: This study examined the relationships between parents' catastrophising about their infants' pain, parental self-efficacy in the management of their infants' pain, perceived social support and the parental coping strategies for their infants’ pain-related stress. Background: Preterm infants hospitalised in the neonatal intensive care unit experience painful procedures causing stress to their parents. Coping with stress may be emotion- or problem-focused. Adults' coping with their own pain has been associated with pain catastrophising, pain management self-efficacy and social support. However, little is known about the associations between parents' catastrophising, their self-efficacy to manage, their perceived social support and their coping strategies when dealing with their infants' pain. Design: This was a cross-sectional, correlational study design. Methods: The STROBE guidelines for cross-sectional studies were followed. Participants included 149 parents of preterm infants hospitalised in a neonatal intensive care unit. They completed measures to assess infant pain catastrophising, self-efficacy regarding infant pain management, social support and emotion- and problem-focused coping. Results: Positive associations were found between parental self-efficacy regarding infant pain management, social support, parental catastrophising about their infants' pain and problem-focused coping. Parental catastrophising was positively associated with emotion-focused coping. Gender moderated the relationships between parental self-efficacy regarding infant pain management and emotion-focused coping. Specifically, amongst mothers, the higher their level of self-efficacy, the lower their emotion-focused coping. Amongst fathers, the relations were reversed. Conclusions: Parents coping with their preterm infants' pain were associated with catastrophising about their infants' pain, self-efficacy regarding infant pain management and social support. Mothers had different ways to cope emotionally to that of fathers in relation to their self-efficacy in managing their infants' pain. Relevance to clinical practice: Nursing interventions that provide support to parents and promote parental self-efficacy in managing their infants' pain may allow parents to more effectively cope with their infants' pain. Patient or Public Contribution: Patients or public were not involved in setting the research question, the outcome measures and the design or implementation of the study. Parents of preterm infants answered the research questionnaires.