(1) Background: Coping includes the specific cognitive processes and behaviours that the patient uses when faced with the stress of living with a chronic disease. Self-efficacy is the knowledge that individuals have about their abilities and their confidence to face a problem or cope with a situation (disease). The aim of this study was to explore the role of coping and self-efficacy in inflammatory bowel disease. (2) Materials and Methods: A total of 92 participants were included (33 had been diagnosed with Crohn’s disease, 23 with ulcerative colitis and 36 were healthy participants). The Coping Strategies Inventory was used to measure which coping strategies were employed, differentiating them as active or passive. The General Self-Efficacy Scale was used to measure self-efficacy. (3) Results: The results indicate that people with inflammatory bowel disease used strategies related to passive coping more than healthy people (mean of 36.39 ± 13.92 vs. 29.77 ± 10.70, p = 0.017). Additionally, people with inflammatory bowel disease used social withdrawal more than healthy participants (mean of 8.30 ± 5.07 vs. 4.47 ± 4.17, p < 0.001). In addition, there are significant differences in emotion-focused engagement coping strategies. People with inflammatory bowel disease used this strategy less than healthy people (mean of 21.77 ± 7.75 vs. 25.03 ± 7.00, p = 0.044). Finally, healthy participants used the emotion-focused disengagement strategy less than those diagnosed with inflammatory bowel disease (mean of 9.81 ± 7.74 vs. 15.61 ± 10.14, p = 0.004). (4) Conclusions: Actions aimed at the development of active coping strategies and patient socialisation must be included in the treatment of inflammatory bowel disease.