Gay men face a greater risk of psychological distress than heterosexual men, yet research on protective factors among gay men has been limited. This prospective cohort study investigated whether a sense of coherence (SOC), as a form of coping, helps to protect against psychological distress among middle-aged and older gay men. A nationwide online survey was conducted among a baseline sample of 1135 Australian gay-identified men aged 40 years and older, with a follow-up survey 12 months later. SOC was measured using the 13-item SOC Scale. Psychological distress was measured using the K10 Psychological Distress Scale. Hierarchical regressions were conducted, with analyses controlling for several potential risk factors for distress. Over half of participants had moderate or high psychological distress. However, baseline distress was significantly lower among those with stronger baseline SOC. In addition, baseline SOC significantly predicted distress 12 months later. This predictive effect of SOC was independent of baseline distress levels and occurred despite a strong correlation between baseline and follow-up distress. With SOC appearing to be a protective factor, strategies among middle-aged and older gay men that strengthen SOC may assist in the prevention and treatment of anxiety and other psychological distress in this vulnerable population.