The current study tests a model that depicts the relationships among coping strategies (active, distraction, avoidance, and support seeking) and anxiety symptoms. SEM is used to test if the relationship between these variables is mediated by coping efficacy. A large sample of Canadian children (N = 506) aged 8 to 11 years (boys = 249, girls = 245, unknown gender = 12) participated in the study. Results showed that coping efficacy is a partial mediator of the relations between active coping strategies and anxiety symptoms, however support was not found for it to be an effective mediator for other coping strategies. This study contributes to the understanding of childhood anxiety by highlighting the importance of the relationship between anxiety and the methods children use to cope with stress and how perceptions of their coping abilities influence this relationship.