Sensory-Processing Sensitivity (SPS) is the reactivity to different stimuli that occurs in some people with sufficient intensity to cause interference in daily life. There are not many previous studies that determine the influence of adaptive and maladaptive coping strategies on health-related quality of life through indicators of mental (anxiety and depression) and physical (vitality) health and functioning in their lives in different contexts (emotional role functioning). In this sense, contexts that promote the use of successful stress-coping strategies are related to the presence of positive mental health outcomes. This study focuses on the analysis of indicators of health-related quality of life in people with SPS in relation to certain personality traits and coping strategies. Participants (N = 10,525) completed HSPS-S, NEO-FFI, CSI, and SF-36. Differences were observed between men and women. Differences indicated that women had higher SPS scores compared to men and poorer health-related quality of life. The results showed significant relationships with the three indicators of health-related quality of life. Finally, it is confirmed that neuroticism and the use of maladaptive coping strategies act as risk factors, whereas extraversion, conscientiousness, and adaptive coping strategies act as protective factors. These findings highlight the need to develop prevention programs for highly sensitive persons.