Female domestic workers face many migration-related stressors that affect their mental health, but we know little about the dynamics of stress and coping in different migration phases. This exploratory study aims to assess stress and coping of female migrant domestic workers from the Philippines in different phases of the migration process; prior to migration, in the country of destination and upon return to the Philippines. Data were collected in 2010 using questionnaires (N = 500). Validation of findings took place in a work shop (23 participants) and two focus groups (13 and 8 participants). Stress levels of women were significantly higher abroad than in the Philippines. Stress and coping in the Philippines was primarily related to financial issues, while stress and coping abroad related more strongly loneliness, working conditions and employers. Findings from this study provide insight in the phase-specific and transnational dimensions of stress and coping.