This study aims to evaluate the construct validity, internal consistency and cross-cultural invariance of the Generalized Self-Efficacy Scale-Portuguese version (GSE) in a Brazilian and Portuguese sample. The GSE is composed of 10 items, designed to parsimoniously and comprehensively assess self-efficacy beliefs to deal with a wide range of stress-inducing situations. The construct validity (factorial, convergent and discriminant) and internal consistency of the instrument were established within a sample of 304 Portuguese adolescents (study 1) and a sample of 477 Brazilian adolescents (study 2). Then, the invariance of the GSE was tested in a sample of Brazilian adolescents (study 3), using Multigroup Confirmatory Factor Analysis (MGCFA). In the first two studies, the construct validity of the GSE was demonstrated in its three components and the reliability of the scales was confirmed based on satisfactory levels of internal consistency. In the third study, the cross-cultural invariance of the instrument was established. This work adds to previous research on generalized self-efficacy instruments, with good psychometric qualities. Moreover, comparisons can now be made with confidence using this instrument among adolescent samples from Portugal and Brazil.