Fantasy proneness (FP; the tendency to immersion in imagination) is linked to psychopathology and suggested to be a maladaptive coping strategy. However, some evidence suggests it can be a positive trait. We examined whether the FP-emotional distress relationship is mediated by coping strategy. Participants completed the Depression, Anxiety and Stress Scale, the Cognitive Emotion Regulation Questionnaire measure of coping strategies, the Creative Experiences Questionnaire FP scale (Study 1; N = 248) and the newly developed Fantasy Questionnaire which measures fantasy across two subscales, creative and imaginative (Study 2; N = 208). In Study 1, FP presented positive associations with emotional distress, with maladaptive coping strategies self-blame, rumination and catastrophizing, and with adaptive strategies positive refocussing, planning and positive reappraisal. Mediation indicated that self-blame and rumination partially accounted for the negative relationship between FP and distress, while positive refocussing ameliorated it. In Study 2, creative fantasy showed no relationship with distress, though imaginative fantasy was positively associated, with self-blame mediating the relationship. A tendency to fantasise can negatively influence psychological outcomes particularly in the presence of maladaptive coping. Our data support the suggestion that fantasy proneness is multi-componential and that not all aspects are linked to negative emotion. •Fantasising is generally linked to psychopathology and maladaptive coping strategies.•Study 1 showed mediating effects of positive refocussing, rumination and self-blame.•In Study 2 imaginative, but not creative, fantasy was related to emotional distress.•We found a positive mediating effect of self-blame on this relationship.•Only certain types of fantasy are linked to negative emotions and poor coping.