Question: Do we know why some people feel 'less stressed' than others or just cope better with stress?
Answer: Some people seem to be resistant to stress, whereas others are much more sensitive to stress. At one level, we can look at this at the level of personality. Some of us have a personality which doesn't experience negative emotions like anxiety, fear, anger, sadness as much as others when bad things are happening. Others of us have a personality which means that we're very sensitive to experience those emotions when bad things are happening. So there's a personality predisposition to be either stress-prone or stress-resistant.
Other people have had life experiences which tend to make them more resistant to stress. People who in childhood have had a nurturing environment, who've had parents who positively reinforce them and don't use much punishment can be resistant to stress. On the other hand, people who've undergone a lot of stressful situations when they were children ranging up to, of course, outright abuse and neglect. Those people are much more sensitive to stress -- they're much more likely to engage in maladaptive behaviors when they experience stress later in life.