Little is known about stressful triggers and coping strategies of Nigerian adolescents and whether or not, and how, HIV infection modulates these sources of stress and coping. This study evaluated differences in stressors and coping strategies among Nigerian adolescents based on HIV status. We analysed the data of six hundred 10–19 year old adolescents recruited through a population-based survey from 12 States of Nigeria who self-reported their HIV status. Data on stressors and coping strategies were retrieved by self-report from participants, using a validated structured questionnaire. We compared results between adolescents with and without HIV with respect to identification of specific life events as stressors, and use of specific coping strategies to manage stress. Logistic regression analysis adjusted for age and sex. Adolescents living with HIV (ALHIV) had significantly increased odds of identifying ‘having to visit the hospital regularly’ (AOR: 5.85; 95 % CI: 2.11–16.20; P = 0.001), and ‘having to take drugs regularly’ (AOR: 9.70; 95 % CI: 4.13–22.81; P < 0.001) as stressors; and ‘Seeking social support’ (AOR: 3.14; 95 % CI: 1.99–4.93; p < 0.001) and ‘using mental disengagement’ (OR: 1.64; 95 % CI: 0.49–1.84; p = 0.001) as coping strategies. Adolescents not living with HIV had significantly increased odds of identifying ‘argument with a friend or family member’ as a stressor (AOR: 6.59; 95 % CI: 3.62–11.98; P < 0.001). Life events related to adolescents’ HIV positive status were significant stressors for ALHIV. Providing targeted psychosocial support could help reduce the impact of such HIV status-related stressors on ALHIV.