Many late adolescents who transition to the college environment perceive changes in psychosocial stress. One such stressor, loneliness, has been associated with numerous health problems among adolescents and adults. The hypothalamic–pituitary–adrenal axis is one mechanism through which loneliness may affect health. Guided by a risk and resilience framework, the present study investigated the association between longitudinal changes in loneliness from high school to college and diurnal cortisol activity (waking levels, cortisol awakening response, diurnal slope) by sampling saliva intensively 5 times a day for 3 weekdays in a US sample of late adolescents in their first semester of college (N = 70; M _age = 18.49, SD = 0.38). The present study also explored how the link between loneliness and cortisol might depend on coping efficacy—one’s belief in successfully coping with future stressors or novel situations. Results from hierarchical linear growth curve models demonstrated that an increase in loneliness across this contextual transition was associated with steeper cortisol slopes in college. Coping efficacy at baseline (in high school) significantly moderated the relation between changes in loneliness and diurnal slopes, such that late adolescents with low levels of coping efficacy who reported increased loneliness across the transition exhibited significantly flatter diurnal slopes in college. Higher levels of coping efficacy at baseline also significantly predicted lower waking cortisol levels during the first semester of college. These results suggest that coping efficacy may serve as a protective factor by contributing to regulation of daily physiological stress activity for late adolescents as they struggle with loneliness across the transition to college.