Understanding the ways in which individuals cope with threats, respond to challenges, make use of opportunities and mediate the harmful effects of their surroundings is important for predicting their ability to function in a rapidly changing world. Perhaps one of the most essential drivers of coping behaviour of adults is the environment experienced during their early-life development. Although the study of coping, defined as behaviours displayed in response to environmental challenges, has a long and rich research history in biology, recent literature has repeatedly pointed out that the processes through which coping behaviours develop in individuals are still largely unknown. In this review, we make a move towards integrating ultimate and proximate lines of coping behaviour research. After broadly defining coping behaviours (1), we review why, from an evolutionary perspective, the development of coping has become tightly linked to the early-life environment (2), which relevant developmental processes are most important in creating coping behaviours adjusted to the early-life environment (3), which influences have been shown to impact those developmental processes (4) and what the adaptive significance of intergenerational transmission of coping behaviours is, in the context of behavioural adaptations to a fast changing world (5). Important concepts such as effects of parents, habitat, nutrition, social group and stress are discussed using examples from empirical studies on mammals, fish, birds and other animals. In the discussion, we address important problems that arise when studying the development of coping behaviours and suggest solutions.