During the COVID-19 pandemic, people’s health behavioral changes have been transposed into a new dimension. Coping with the COVID-19 pandemic may have an impact on sustained health behavior (SHB). Therefore, this study aimed to explore the validity and reliability of the COVID-19 Coping Scale among working-age individuals and to assess whether coping with COVID-19-related stress could influence SHB in this population. A cross-sectional study was conducted based on the population of the city of Dhaka in Bangladesh. A total of 263 working-age individuals (19–65 years) participated in the study. The present study results confirmed the COVID-19 Coping Scale was a valid and reliable instrument for this population. Moreover, the present finding indicated decreased odds of SHB for individuals who rated lower scores on coping with COVID-19 compared to individuals who rated higher scores; the result remained significant after controlling for gender and education (OR 0.68, 95% CI: 0.54–0.87). The present study suggests two important findings: (i) the instrument used in this study was valid and reliable in this population, and (ii) coping with COVID-19-related stress may be an important aspect of practicing SHB. Policymakers may use the highlighted findings to facilitate sustainable health behavior for long-term health benefits and to tackle future pandemics like COVID-19 or in a similar context.