Understanding more about the stress process is important for the performance of athletes during stressful situations. Grounded in Lazarus’s (1991, 1999, 2000) CMRT of emotion, this study tracked longitudinally the relationships between cognitive appraisal, coping, emotions, and performance in nine elite fencers across 14 international matches (representing 619 momentary assessments) using a naturalistic, video-assisted methodology. A series of hierarchical linear modeling analyses were conducted to: (a) explore the relationships between cognitive appraisals (challenge and threat), coping strategies (task-and disengagement oriented coping), emotions (positive and negative) and objective performance; (b) ascertain whether the relationship between appraisal and emotion was mediated by coping; and (c) examine whether the relationship between appraisal and objective performance was mediated by emotion and coping. The results of the random coefficient regression models showed: (a) positive relationships between challenge appraisal, task-oriented coping, positive emotions, and performance, as well as between threat appraisal, disengagement-oriented coping and negative emotions; (b) that disengagement-oriented coping partially mediated the relationship between threat and negative emotions, whereas task-oriented coping partially mediated the relationship between challenge and positive emotions; and (c) that disengagement-oriented coping mediated the relationship between threat and performance, whereas task-oriented coping and positive emotions partially mediated the relationship between challenge and performance. As a whole, this study furthered knowledge during sport performance situations of Lazarus's (1999) claim that these psychological constructs exist within a conceptual unit. Specifically, our findings indicated that the ways these constructs are interrelated influence objective performance within competitive settings.