This study aims at expanding the evidence-base of coaching and explores how coaching contributes to coping. It offers a model for coaching as an intervention affecting an individual’s stress management, which, in essence, explores one psychological “mechanism” of coaching-facilitated change by relating self-management with coping and taking into account self-efficacy as a mediator. We hypothesize that coaching alters clients’ self-management skills and self-efficacy beliefs, and further, in light of previous assumptions on the relation between these variables, that an increase in self-management skills affects individual coping mediated by self-efficacy. Results of a structural equation model support this theoretical framework. Results of hierarchical regression analyses on longitudinal data over a 10-week period additionally demonstrate that clients of a controlled coaching intervention significantly advance in both self-management and self-efficacy in comparison with a nontreated control group. Finally, the results provide preliminary support for coaching affecting individual stress management in terms of reduced ruminative tendencies.