This study aims to examine the mediating effects of social problem-solving (SPS) and coping efficacy (CE), the essential internal belief sets of self-system processes, on the relationship between cumulative risk (CR) and adolescent mental health. Chinese adolescents (grades 10-11; N = 675, female = 391) completed measures assessing CR, SPS, CE, anxiety and depression, and life satisfaction at two time points. To attribute the effects of CR on mental health to the modeled processes, we applied a short-term longitudinal design to collect data on CR, the mediators, and mental health. We also used multi-group confirmatory factor analysis and multi-group structural equation modeling to test for measurement and model invariance with respect to gender before we combined and analyzed subgroup data. The results indicated that gender did not influence the strength of the associations in the models for males and females. CR predicted Time 2 anxiety and depression and life satisfaction while controlling for Time 1 mental health. Furthermore, SPS and CE and CE alone mediated the relationship between CR and prospective life satisfaction. These findings suggest that severe adversity may lead to low life satisfaction and high anxiety and depression in adolescents. Severe adversity may also lead to low life satisfaction through compromised SPS and CE. The findings provide preliminary evidence for an intervention approach targeting SPS and CE to promote adolescents' life satisfaction.