Based on self-reported questionnaires from 2040 pre-service early childhood education (ECE) teachers from three provinces in China, the researcher explored a structural model of the link between adult anxious attachment and mental health through negative coping style and social support. Moreover, the moderating role of social support was tested in the mediation model of adult anxious attachment-negative coping style mental health. The results indicated that (1) adult anxious attachment was positively associated with three dimensions of mental health—depression, anxiety, and stress; (2) retreat and self-blame of negative coping style and social support mediated the relationship between anxious attachment and mental health. While fantasy could mediate the relationship between anxious attachment and anxiety and stress, respectively, but was not the mediator in the relationship between anxious attachment and depression; (3) social support moderated the mediation models of attachment anxiety–self-blame–depression and attachment anxiety–self-blame–anxiety. This study provided the implications for designing interventions to alleviate the mental health problems among Chinese pre-service ECE teachers.