Background: Efficacy beliefs have been suggested to protect children from many risky health behaviors. However, the relationships between parent-child dyads' coping and efficacy beliefs are not clear. Therefore, this study examined the relationships between parent-child dyads' coping patterns and their association with collective family efficacy, adolescent filial efficacy, parenting efficacy, family satisfaction, depressive symptoms, and parents' perceived adolescent health risks. Methods: Guided by the Bandura's efficacy framework, we surveyed 158 parent-adolescent dyads from the midwestern U.S. on coping, collective family efficacy, adolescent filial efficacy, family satisfaction, parenting efficacy, depressive symptoms, and parent perceived adolescent health risks. Descriptive statistics, bivariate correlations, multiple regression, and path modeling were performed. Findings: Parent-adolescent dyads spiritual coping was positively correlated, but other coping subscales were not. The path models revealed that adolescents collective family and filial efficacy were positively related to their overall coping. Adolescent family satisfaction both directly and indirectly protected adolescents from depressive symptoms. Parents' parenting efficacy and family satisfaction were directly and indirectly associated with lower parents' perceived adolescent health risks. Discussion: It seems that parents' constructive coping mechanisms were more collective-focused, while adolescents' coping strategies were more individual-focused (venting and humor). Promoting parent-adolescent dyads' efficacy beliefs could enhance their coping strategies and minimize depressive symptoms and adolescent health risks. Application to practice: adolescents' collective coping mechanisms (self-reliance and family problem solving) can be promoted within the family context. In fact, when helping adolescents develop family problem solving skills, it is important to consider parents' ability/efficacy and their emotional status.