The COVID-19 pandemic has impacted the mental health of many individuals and has caused global increases in psychological distress. Research has shown that social support, psychological flexibility, and coping mechanisms are important protective factors against psychological distress. However, recent evidence suggested that psychological flexibility might not be a coping mechanism but could be the mechanisms to determine the type of coping approach an individual will employ during stressful events. In this study, we test a novel theoretical mediation model to identify if, during stressful events (i.e., COVID-19), individuals perceived level of social support directly increases their psychological flexibility; and if the effect of psychological flexibility on psychological distress is mediated by approach and avoidant coping strategies. To test the model, 360 participants completed the following surveys: COVID-19 concerns scale, the multidimensional scale of perceived social support, the comprehensive assessment of acceptance and commitment therapy, and the brief COPE. Results show that most participants report a high level of psychological distress. One novel finding in our study was the mediating role of coping mechanism between psychological flexibility and psychological distress. Our results partially confirm that psychological flexibility might influence the type of coping an individual will employ during stressful events. Within the context of COVID-19, we have shown that social support, psychological flexibility and the types of coping mechanisms individuals employ have an impact on their levels of psychological distress. However, we argue that the proposed model could be applied to other stressful events.