With the beginning of the COVID-19 pandemic, several limitations and stressful changes have been introduced in adolescent’s daily life. Particularly, Italian teenagers were the first among western populations to experience fears of infection, home confinement, and social restrictions due to a long lockdown period (10 weeks). This study explores the role of coping strategies (task-oriented, emotion-oriented, and avoidance coping) and meta-beliefs about worry as vulnerability factors associated with adolescents’ anxiety. A community sample of adolescents (N = 284, aged 16–18 y.o.) answered questionnaires assessing anxiety symptoms (RCMAS-2), meta-cognitive beliefs and processes about worry (MCQ-C), and coping strategies (CISS). Results show that 37% of participants report clinically elevated anxiety. Emotion-centered coping predicted higher anxiety, whereas task-centered coping resulted associated with decreased anxiety. Cognitive monitoring about their own worry contributes, but to a lesser extent, to higher levels of anxiety. The implications for the intervention are discussed, especially the need to enhance the coping skills of adolescents and mitigate the stress of the COVID-19 pandemic, which could last for a long time.