Informal caregivers play a crucial role in supporting persons with multiple sclerosis (MS), a neurodegenerative disease resulting in progressive worsening of physical and cognitive functioning. While research extensively showed that caregiving workload can be perceived as burdensome, little attention was devoted to the relation connecting workload and caregivers' well‐being. Building on previous literature on stress and coping, the aim of this study was to test the mediational role of coping between caregivers' tasks and well‐being. A group of 680 caregivers of persons with MS (M age = 46.45; 51.2% women) was recruited in eight Italian MS centres between June 2015 and December 2016. Caregiving tasks related to basic activities of daily living (ADL), instrumental ADL, psycho‐emotional and social‐practical care were assessed through the Caregiving Tasks in MS Scale; coping strategies (avoidance, criticism and coercion, practical assistance, supportive engagement, positive reframing) were investigated through the Coping with MS Caregiving Inventory; well‐being was evaluated through the Psychological Well‐Being Scales. Analyses substantiated a multi‐mediation model including tasks in basic ADL, psycho‐emotional and social‐practical care, and the coping strategies avoidance, criticism/coercion, supportive engagement, positive reframing. Basic ADL care was negatively related to psychological well‐being through lower use of supportive engagement and positive reframing. By contrast, psycho‐emotional and social‐practical tasks were both negatively and positively related to psychological well‐being, through higher use of avoidance and criticism/coercion as well as supportive engagement and positive reframing. Findings suggest that caregiving tasks are not solely detrimental to well‐being, but they may also provide a positive contribution through the adaptive coping strategies supportive engagement and positive reframing. Findings also highlighted task‐specific areas that could be targeted in intervention in order to effectively lighten burden and promote well‐being among caregivers.