The present study aimed to investigate the relationship of occupational stress with emotional intelligence (EI) and coping self-efficacy (CSE). The sample consisted of 159 bank employees working in public and private banks in Delhi-NCR. Out of these, 87 were males and 72 were females. The age range of the sample was 27–55 years (mean age = 39 years). The Occupational Role Questionnaire of Occupational Stress Inventory, CSE Scale, and the Assessing Emotions Scale were used for data collection. Data were analysed using independent samples t-test, correlational analysis, and multiple regression analysis. Results showed that a significant negative relationship exists between occupational stress and EI, and between occupational stress and CSE. A significant positive relationship was found between CSE and EI. Multiple regression analysis showed EI as a significant predictor of occupational stress. Implications based on enhancing EI so as to decrease occupational stress are discussed.