Understanding resilience mechanisms in coping with socioeconomic stressors is essential for researchers and practitioners concerned with mental health. Yet, resilience research has less incorporated a financial perspective into stress-coping processes, and limited attention has been paid to how these mechanisms may differ under conditions of gender inequality. This study proposes and tests a model using data from 2,329 working adults in the 2020 China Family Panel Studies. Findings show that financial resilience significantly mediated the associations between pandemic-related socioeconomic challenges and mental health outcomes. Job insecurity was associated with both depressive symptoms and subjective happiness, whereas income shock showed non-significant direct effects. Both women and men experienced socioeconomic challenges during the pandemic and benefited from financial resilience with respect to mental health. Socioeconomic challenges exerted stronger negative impacts on men’s financial resilience, and income shock appeared less salient in women’s stress-coping processes. Gender-development environments were directly associated with mental health, while they did not moderate the proposed pathways linking socioeconomic challenges, financial resilience, and mental health. Overall, the study highlights the mediating role of financial resilience in stress processes and offers insights into enhancing occupational welfare, financial well-being, and mental health amid adversity.