Objective structured clinical examination (OSCE) is a valid method to evaluate medical students’ competencies. The present cross-sectional study aimed at determining how students’ coping and health-related behaviors are associated with their psychological well-being and performance on the day of the OSCE. Fourth-year medical students answered a set of standardized questionnaires assessing their coping (BCI) and health-related behaviors before the examination (sleep PSQI, physical activity GPAQ). Immediately before the OSCE, they reported their level of instant psychological wellbeing on multi-dimensional visual analogue scales. OSCE performance was assessed by examiners blinded to the study. Associations were explored using multivariable linear regression models. A total of 482 students were included. Instant psychological well-being was positively associated with the level of positive thinking and of physical activity. It was negatively associated with the level of avoidance and of sleep disturbance. Furthermore, performance was negatively associated with the level of avoidance. Positive thinking, good sleep quality, and higher level of physical activity were all associated with improved well-being before the OSCE. Conversely, avoidance coping behaviors seem to be detrimental to both well-being and OSCE performance. The recommendation is to pay special attention to students who engage in avoidance and to consider implementing stress management programs.