The current longitudinal study tested the premise that Latino adolescents' ( N = 323) proactive coping with discrimination would mediate the relationship between ethnic identity and self-esteem. Each component of ethnic identity (i.e., exploration, resolution, and affirmation) was positively associated with concurrent assessments of adolescents' self-esteem. However, in the longitudinal analyses, none of the ethnic identity components predicted future levels of self-esteem. Ethnic identity resolution was the only ethnic identity component to predict proactive coping over time. Furthermore, proactive coping did not mediate the relationship between ethnic identity and self-esteem. However, there was evidence to suggest that the association between proactive coping and self-esteem was bidirectional. These findings underscore the importance of examining the unique components of ethnic identity as well as using longitudinal designs to examine the associations between ethnic identity and adolescents' psychological well-being.