Introduction: Social self-efficacy refers to peoples’ beliefs about their ability to establish effective social relationships. During adolescence, it has been related to positive social relationships, skills to cope with adverse experiences, and health. While prior research has focused on the general dimension of self-efficacy, this study aims to examine the reliability and validity of the subscale social self-efficacy in Spanish and Portuguese adolescents across gender, age, and country. Method: The sample, selected from the 2018 Health Behaviour in School-aged Children (HBSC) study, was composed of 20,691 13–18-year-old adolescents from Spain and Portugal (48.2% boys and 51.8% girls). The scale’s reliability and internal and external validity were examined systemically across sex, age, and country, as well as testing measurement invariance according to these variables. Results: Data showed adequate evidence of reliability ( α = 0.85), as well as internal and external validity, thus demonstrating the scale’s stability and applicability in similar research contexts. Conclusions: Social self-efficacy fosters individual and social well-being in youth, as well as healthy and positive development. Use of this subscale in evaluation and intervention programs could further our understanding about different dimensions of adolescent development.