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Coping strategies, perceived environmental exposure control and mental distress appear to be important concepts in persons with symptoms associated with environmental factors (SAEF), but their interplay is not well documented. The objective was to investigate (i) use of coping strategies, (ii) prevalence of perceived exposure control, (iii) whether the control is associated with mental distress and SAEF type, and (iv) whether coping strategies are associated with mental distress in SAEF regarding chemicals (SAEF-C), buildings (SAEF-B), electromagnetic fields (SAEF-EMF) and sounds (SAEF-S) in a general population. Cross-sectional population-based data (n = 391) and validated questionnaire instruments were used to assess symptoms of anxiety, depression, burnout and sleep disturbance, applying analysis of covariance and hierarchical regression analysis. The most used problem- and emotion-focused coping strategies were avoiding environments and accepting the situation, respectively. A majority of those with SAEF-C (71.7%), SAEFF-EMF (75.9%) and SAEF-S (64.1%), but not SAEF-B (36.4%) were able to control the adverse exposure, and low level of control was associated with anxiety, depression, burnout and sleep disturbance in all four SAEF types. Use of the strategies avoidance and eating/drinking/smoking were associated with depression, and reprioritizing with burnout. An implication of the results is that suitable coping strategies and perceived control may be considered as part of treatment of SAEF.