Abstract Background This study aimed to examine the construct validity of the Coping Self-Efficacy Scale-Vietnamese Version (CSES-V) among Vietnamese adolescents. Methods This study selected Grade 10 students from eight schools in Hanoi using a multiple-stage sampling method. Multiple aspects of the construct validity were examined including: factorial structure (evaluated using exploratory factor analysis); internal consistency (tested using Cronbach’s alpha coefficient); measurement invariance between male and female participants and longitudinal measurement invariance (tested by employing multiple group confirmatory factor analysis) and external aspect (tested using Pearson’s correlation coefficients between CSES-V and the Depression Anxiety and Stress Subscales of Depression (DASS21-D), Anxiety (DASS21-A), and Stress (DASS21-S) and a measure of mental well-being, Mental Health Continuum Short Form (MHC-SF)). Results A total of 1082 adolescents (aged 14–16 years) was included in this study. Data supported a three-factor structure (comprising 24 items) that explained 97.6% of the total variance of the CSES-V. Cronbach’s alpha coefficients of all three factors were acceptable. All levels of measurement invariance between male and female participants and longitudinal measurement invariance were well-supported. The three factors of the CSES-V were positively correlated with MHC-SF and were negatively correlated with the DASS21 subscales at a low or moderate level, supporting the external aspect of the construct validity. Conclusions CSES-V is recommended to assess coping self-efficacy among Vietnamese adolescents who are attending school.