The effect of parental conflict on children's psychological adjustment is variable. Coping self‐efficacy refers to a person's perceived ability to self‐motivate and access the required cognitive resources to take control of, or exert their coping efforts in a stressful situation. This study investigated the mediating role of children's coping self‐efficacy beliefs between parental conflict and children's psychological adjustment (internalizing, externalizing, anxiety, and prosocial behavior). The participants were 663 school students in grade 5 (M = 10.17 years, SD = .53) and grade 7 (M = 12.11 years, SD = .52). The ethnic composition of the sample was approximately 72% White, 20% Asian, 4% Middle Eastern, and 4% from other ethnic groups. Coping self‐efficacy for avoiding maladaptive cognitions mediated the effect of parental conflict on children's internalizing symptoms longitudinally. The higher the level of parental conflict, the lower the level of children's coping self‐efficacy for avoiding maladaptive cognitions and in turn the higher their levels of internalizing. These findings support the mediational role of children's coping self‐efficacy beliefs in the context of parental conflict. It is proposed that these beliefs should be considered in designing and implementing preventative interventions for children in the context of parental conflict.