Whether or not one uses humor to cope with a setback may depend on the idiosyncratic relation of the setback to feeling of self-worth. All people pursue the higher order goal of self-validation, but people differ in what domains of life their self-worth is contingent upon and to what extent. In this article based on an incongruity theory of humor we argue that the use of humor in coping with a highly self-worth-contingent setback may be impeded by two cognitive-motivational processes: goal-driven activation and goal shielding. From the outlined theory we derived the hypothesis that the more a domain is contingent upon self-worth, the less likely a person will be to use humor to deal with a setback in that domain. We tested this hypothesis in two studies employing two forms of self-report, i.e., ratings of reaction likelihood to setbacks described at an abstract domain level (Study 1), and ranking of reaction likelihood to concrete setbacks from different domains (Study 2). The hypothesis was affirmed in different domains of self-worth contingency controlling for the influence of habitual coping with humor, coping by disengagement, and global self-esteem.