Early life experiences, such as childhood adversities or poor parenting practices, can impact on the ability to cope with stressors across the lifespan. Furthermore, poor coping skills can lead to the development of mental illnesses, self-harm, and suicidal behavior. This study aimed to examine demographic differences in stress levels and to determine if those who had endured negative childhood experiences would be more likely to develop psychological problems and display suicidal behavior when current stress levels were accounted for. The study also explored the link between coping and mental health problems. Finally, it aimed to predict risk and protective factors related to good coping skills. The study utilized data obtained from the Ulster University Student Wellbeing Study, conducted across four university campuses in Northern Ireland in 2015 (n = 716) as part of the World Health Organization World Mental Health (WMH) International College Student Initiative. Mental health problems and early childhood experiences were examined using questions adapted from the WMH Composite International Diagnostic Interview, with self-harm and suicidal behavior measured using the Self-Injurious Thoughts and Behaviors Interview (SITBI). Females, non-heterosexuals, and older students experienced more current stress. When current stress levels were high, childhood adversities and parental overcontrol and overindulgence were related to higher rates of mental health problems, self-harm, and suicidal behavior. Poor coping skills were associated with negative mental health outcomes. Social support and good emotion-regulation strategies were related to effective coping, while parental overcontrol and overindulgence, female gender, and younger age were related to poorer coping. The study highlights the importance of developing good coping skills to deal with life stressors, thereby minimizing the risk of psychological problems and suicidal behavior. The findings provide support for initiatives to help parents improve their parenting skills and other programs to help young people cope with stress, and to develop social networks and adaptive emotion-regulation strategies.