Three models of the relations of coping efficacy, coping, and psychological problems of children of divorce were investigated. A structural equation model using cross‐sectional data of 356 nine‐ to twelve‐year‐old children of divorce yielded results that supported coping efficacy as a mediator of the relations between both active coping and avoiding coping and psychological problems. In a prospective longitudinal model with a subsample of 162 of these children, support was found for Time 2 coping efficacy as a mediator of the relations between Time 1 active coping and Time 2 internalizing of problems. Individual growth curve models over four waves also found support for coping efficacy as a mediator of the relations between active coping and psychological problems. No support was found for alternative models of coping as a mediator of the relations between efficacy and symptoms or for coping efficacy as a moderator of the relations between coping and symptoms.