Bullying and victimisation may result from ineffective coping with interpersonal stressors. However, little is known about the preadolescents who are most susceptible to dysfunctional coping styles. Self-efficacy beliefs may be one source of individual differences in coping among those involved in bullying and victimisation. The purpose of the present research was to examine whether links between bullying/victimisation and coping were moderated by self-efficacy beliefs. Participants were 262 Greek preadolescents who completed self-report assessments of bullying/victimisation, coping, and self-efficacy. Results indicated that self-efficacy moderated the association between bullying/victimisation and coping, in that greater use of ineffective coping (i.e., resignation, passive avoidance) predicted bullying and victimisation among preadolescents with moderate and low levels of social and emotional self-efficacy, whereas greater use of adaptive coping (i.e., positive self-instructions, social support) was reported by those with higher self-efficacy beliefs. Practical implications of the findings are discussed.