This study investigated potential risk factors (coping, perfectionism, and self-regulation) for substantial injuries in contemporary dance students using a prospective cohort design, as high-quality studies focusing on mental risk factors for dance injuries are lacking. Student characteristics (age, sex, BMI, educational program, and history of injury) and psychological constructs (coping, perfectionism, and self-regulation) were assessed using the Performing artist and Athlete Health Monitor (PAHM), a web-based system. Substantial injuries were measured with the Oslo Sports Trauma Research Center (OSTRC) Questionnaire on Health Problems and recorded on a monthly basis as part of the PAHM system. Univariate and multivariate logistic regression analyses were conducted to test the associations between potential risk factors (i.e., student characteristics and psychological constructs) and substantial injuries. Ninety-nine students were included in the analyses. During the academic year 2016/2017, 48 students (48.5%) reported at least one substantial injury. Of all factors included, coping skills (OR: 0.91; 95% CI: 0.84–0.98), age (OR: 0.67; 95% CI: 0.46–0.98), and BMI (OR: 1.38; 95% CI: 1.05–1.80) were identified as significant risk factors in the multivariate analysis. The model explained 24% of the variance in the substantial injury group. Further prospective research into mental risk factors for dance injuries with larger sample sizes is needed to develop preventive strategies. Yet, dance schools could consider including coping skills training as part of injury prevention programs and, perhaps, providing special attention to younger dancers and those with a higher BMI through transitional programs to assist them in managing the stress they experience throughout their (academic) career.