The article examines the correlation of self-efficacy with coping strategies of adolescent rock climbers. The hypothesis suggests that the level of self-efficacy of adolescent climbers is closely associated with coping strategies. Teenagers' coping strategies are more productive, when the level of self-efficacy is higher. The hypothesis was confirmed by the research. It was found that adolscence rock-climbers with high level of general self-efficiency use achievement strategies to solve life problems, they also consider opinions of other people for decision making and show their conscientiousness to work. It was discovered the difference between personal and behavior characteristics of adolescents with different level of self-efficiency. Adolescent rock-climbers with high level of social self-efficiency are more optimistic, prefer active lifestyle and pursue to expand their social contacts. The results of research can be used in training process of the athletes. The self-efficiency is an athlete' confidence in his or her capacity to make effective actions pursuing specific goals within context of certain situational factors. Thus, the coach work should be build on examing of adolescents experiences in successful learning their skills and competences. At the same time athletes' self-efficiency influences on the coping-strategy, which causes their successfulness.