Psychological reactions to the climate change (CC) crisis, encompassing worry, distress, and impairment, are influenced by personality. Also, these psychological reactions to CC and future anxiety can impact an individual’s overall psychological distress. The role of perfectionism in psychological distress through CC reactions and future anxiety (FA) has not yet been explored. Our aim was to explore the mediator roles of CC worry, CC distress, CC impairment, and FA in the link between perfectionism and general psychological distress while controlling for the effect of gender. A path analysis was conducted on a sample of 577 adults (mean age = 32.62 ± 14.71) from the general population (64.5% women). The final model with all statistically significant path coefficients (p ≤ 0.01) presented an excellent model fit: χ2(6) = 1.56, p = 0.152; CFI = 0.995; GFI = 0.995; TLI = 0.986; RMSEA = 0.031, CI = 0.000–0.068, p = 0.764. Perfectionism was associated with general PD through several indirect pathways, including CC worry, CC distress, CC impairment, and FA, while controlling for the effect of gender. The model explained 3.89% of CC worry, 39.70% of CC distress, 20.64% of CC impairment, 23.73% of FA, and 20.20% of general PD. These findings suggest that cognitive and emotional responses to CC and future anxiety are exacerbated with higher perfectionism levels, which leads to higher overall psychological distress. These data underscore that individuals with high levels of perfectionism may require help to psychologically adapt to CC. Interventions aimed at lowering the maladaptive cognitive and emotional responses to climate threats should be implemented.