Background: Due to the healthcare crisis caused by COVID-19, nurses have been exposed to stressful, uncertain situations. In such situations, emotional coping strategies are especially important due to their repercussion on health. The purpose of this study is analyze the relationships between nurses’ coping strategies and health, with attention to factors related to perceived threat and/or someone close to them is COVID-19 positive. Methods: This descriptive cross-sectional study was done with a sample of 351 nurses in Spain. In addition to the questionnaire on perception of threat from COVID-19, the Cognitive Emotion Regulation Questionnaire and the General Health Questionnaire, an ad hoc question asked them whether someone close to them was COVID-19 positive. Results: Perceived threat and use of negative coping strategies were related, and these strategies were related to a greater presence of somatic symptoms, anxiety, social dysfunction, and depression. Conclusions: Given the work and personal influence of coping on nurses, interventions must be designed to promote adaptive strategies.