Despite increasing interest in the relationship between humor and psychological distress, investigations have failed to focus on specific categories of humor and negative mental conditions. A sample of 686 Italian participants (187 men and 499 women), aged between 20 and 76 years, completed an online survey, data from which was used to investigate the relationship between eight comic styles, depression, anxiety, and stress. Findings from the multiple linear regression demonstrate benign humor as a protective factor of all three variables considered, while irony was positively associated with anxiety and stress. Wit was a protective factor associated with anxiety, while sarcasm was positively related to depression. No significant correlations emerged between the other variables considered. These findings highlight how specific categories are linked to varying dimensions of emotional distress, which are discussed with reference to the extant literature.