Stress is inevitable in our day-today life. When confronted with factors of stress, people react differently. The variation in handling stress can be attributed to stress tolerance. Stress tolerance may be affected by personality, lifestyle habits and coping strategies. The present study has been on the stress tolerance among 185 millennial executives of public and private sector banks in Kolkata. It also examines the coping strategy and hardiness among them. The findings show that the public and private sector executives have depicted almost similar levels of stress tolerance. It has also been found that the junior millennials of private sector are significantly lower on stress tolerance than their senior counterparts. Stress tolerance has significantly positive correlation with functional coping strategy and hardiness.