This article documents the results of an empirical investigation on the complex interplay between diverse coping mechanisms and the socioeconomic asset profiles of coastal households at risk. Focusing on household-level perceptions and responses to cyclone hazards, a case study was carried out in a poor area in Bangladesh that is prone to natural hazards. We developed and tested our own analytical models based on the asset approach. We conducted a face-to-face household survey in southwestern coastal Bangladesh, in the Koyra sub-district, in late 2009. We asked 360 households affected by the May 2009 tropical Cyclone Aila about their hazard perceptions, preparedness, coping practices, and socioeconomic assets. The results suggest that the majority of households at risk perceive an increasing trend of different climate hazards, with a distinct dominance of tropical cyclones, storm surges, and flash floods in the study area, which resulted in a yearly average economic damage of USD 144 for each household in the first year after Aila. However, such damage is significantly and inversely correlated with the number of adopted coping practices. Significant and systematic differences exist between upstream and downstream households in the study area with respect to hazard perception, hazard induced damages, asset accessibility, and adopted diversified coping practices. The empirical findings suggest that the degree of adoption of coping practices depends primarily on elements of socioeconomic asset profile and the duration of the consequences of cyclone hazards. Disaster preparedness training seems to improve at-risk households’ degree of information access and eventually leads them to adopt more coping practices to reduce adverse impacts of climate hazards. Area-specific practical modules on coping practices should be incorporated in curricula of disaster preparedness training to make people at risk more resilient to hazard shocks.