Self-leadership has become a popular topic in the field of leadership, both Christian and secular. Self-leadership theory predicts that certain behaviors lead to the better accomplishment of one’s goals. In the academic literature, self-leadership is linked to increases in self-efficacy; however, little is known about the relationship between the practices prescribed by the theory and coping with stress. This study looks at the relationship between self-leadership practices and coping stress in a sample (N = 318) of well-educated, self-identified Christians, many of whom were in positions of leadership in Christian parachurch organizations. The study also includes a measure of seeking God’s will, which may be considered a Christian approach to self-leadership. No self-leadership practices from self-leadership theory were found to be positive predictors of coping with stress; two, however, were negative predictors: self-reward and self-punishment. In contrast, seeking God’s will was a positive predictor of coping with stress, even when controlling for self-leadership practices and demographics.