This study examined the direct and interactive effects of core self-evaluations (CSEs), psychological demands (i.e., quantitative and emotional demands) and coping strategies on mental and physical health in a sample of Argentinian managers. A total of 112 managers completed an online survey on CSEs, psychological demands, coping strategies, mental health, and physical health. First, the results of the hierarchical regression analyses revealed that both quantitative and emotional demands were significant predictors of individuals’ mental and physical health. Second, CSEs were found to significantly explain individuals’ mental health but not their physical health. Third, the findings showed that CSEs moderated the relationship between emotional demands and physical health, suggesting that the negative effects of emotional demands on physical health are greater for those individuals with less positive CSEs. Fourth, the results demonstrated that CSEs moderated the relationship between problem-solving coping and physical health, which suggests that this strategy is more effective when individuals have more positive CSEs. Finally, practical implications, limitations and future lines of research are discussed in this article.