Millennial adolescents are a generation who are very aware of the use of technology and have a mindset that tends to be instant (Bhakti and Safitri 2017). Following this stage of development, adolescents are also experiencing various emotional problems due to the search for self-identity. The coping strategies used by adolescents in solving their problems are not the same as each other, which impacts psychological well-being. This study aimed to explore psychological problems with coping strategies to find a model to improve psychological well-being in millennial adolescents in East Java. The research method used is quantitative correlation and descriptive. Respondents used were teenagers (15-18 years), as many as 1,184 people spread from 20 cities and districts in East Java. The scales used are the YSR Scale (Achenbach and Rescorla 2001) and the WCC-R (Cousson et al. 1996). The results showed that thought problems, anxiety/depression, and attention problems were strong tendencies experienced by the majority of adolescents. Meanwhile, the coping strategy adolescents use is emotion-focused coping and seeking social support. Coping strategies are proven to correlate with adolescent psychological problems. Namely, emotion-focused coping correlates more strongly with adolescent psychological problems than seeking social support. However, problem-focused coping in adolescents has no significant relationship to their problems.