Objective Chinese informal caregivers experience burden due to their caregiving responsibilities that violate their belief of reciprocal parent–child relationship, but little is known about this burden and coping processes among Chinese. It is believed that internal coping (i.e., self‐reliance) and external coping (i.e., seeking help from others) better captured cultural characteristics of coping styles observed among Chinese. Thus, the aim of this study was to estimate the prevalence of mental ill health, identify correlates, investigate the impact of caregiving burden on mental health, and explore the potentially moderating role of two coping strategies. Design A purposive sample of 234 informal caregivers of family with intellectual or mental disability in Macao (SAR), China, from August to September 2018 was investigated. Methods DASS‐21, Caregiving Burden Inventory (CBI), Perceived Difficulty Scale (PD), and a modified Chinese Coping Scale were used. Multiple regression analyses were conducted. Results CBI and PD were associated with depression, anxiety, and stress. Whereas internal coping buffered the effect of PD on depression and anxiety, external coping exacerbated the effect of PD on anxiety and the effect of CBI on depression and anxiety. Conclusion Poor mental health among caregivers is associated with greater caregiving challenges and burdens. Internal coping helped to buffer but external coping worsened the effect of burdens on mental health outcomes. Interventions that improve internal coping and mental health might be helpful for ageing informal caregivers.