Despite the relevance of behavior in understanding individual differences in the strategies used to cope with stressors, behavioral responses and their relationships with psychobiological changes have received little attention. In this study on young women, we aimed at analyzing the associations among different components of the stress response and behavioral coping using a laboratory psychosocial stressor. The Ethological Coding System for Interviews, as well as neuroendocrine, autonomic and mood parameters, were used to measure the stress response in 34 young women (17 free-cycling women in their early follicular phase and 17 oral contraceptive users) subjected to the Trier Social Stress Test (TSST) and a control condition in a crossover design. No significant differences in cardiac autonomic, negative mood and anxiety responses to the stressor were observed between the two groups of women. However, women in the follicular phase showed a higher cortisol response and a larger decrease in positive mood during the social stress episode, as well as greater anxiety overall. Interestingly, the amount of displacement behavior exhibited during the speaking task of the TSST was positively related to anxiety levels preceding the test, but negatively related to baseline and stress response values of heart rate. Moreover, the amount of submissive behavior was negatively related to basal cortisol levels. Finally, eye contact and low-aggressiveness behaviors were associated with a worsening in mood. Overall, these findings emphasize the close relationship between coping behavior and psychobiological reactions, as well as the role of individual variations in the strategy of coping with a psychosocial stressor.