Coping, general well-being and self-esteem play an important role during the process of adaptation to turning points in life-course. This study aimed to investigate the effect of coping on both the development of general well-being and self-esteem of adolescents with severe psychiatric problems in secure residential care. In addition, risk and protective factors were taken into account. Adolescents between the age of 16 and 18 (N = 172) were followed for 1.5 years. General well-being and self-esteem were assessed with the Lancashire Quality of Life Profile and the Self-Perception Profile for Adolescents, respectively. In addition, the Utrecht Coping List for Adolescents and the Structured Assessment of Violence Risk in Youth were administered. Results showed that the longitudinal relation between general well-being and self-esteem is no longer significant after adding active and passive coping to the model. The use of active coping strategies was associated with a higher self-esteem. The use of passive coping strategies was associated with a lower self-esteem and also a lower perceived general well-being. Having multiple risks in the individual and/or social/contextual domain affected the developmental pattern of general well-being. During treatment of adolescents with severe psychiatric problems in secure residential care, attention should be paid for enhancing those capabilities and skills, like coping, which help adolescents to fulfill their needs and consequently enhance their well-being. Enhancing the well-being of adolescents might in the long run decrease the chance of reoffending and/or psychiatric relapse.