The importance of personal psychological resources in preventing academic stress has enjoyed little attention to date, despite the high rates of stress that exist among university students. This article analyzes the effect of eudaimonic well-being on the use of adaptive strategies for coping with academic stress. Moreover, it analyzes the role of self-efficacy as a mediator and moderator of this relationship. In the mediation model, gender is included as a co-variable; in the moderation model, gender is included as a moderator. A total of 1402 university students participated in the study. The data were gathered through validated self-report instruments. The mediation analyses were performed using the PROCESS module of the statistical package, SPSS. The moderating effects of self-efficacy and gender were analyzed through hierarchical regression analysis. The results indicate that self-efficacy partially mediates but does not moderate the relationship between eudaimonic well-being and adaptive coping strategies. This finding reveals the benefits of using these two personal resources to enhance effective coping with academic stress while attending university.