Little is known about the stress and coping mechanisms on problem behaviors among Chinese adolescents, which might be quite different from their counterparts in Western cultures. We examined risk process of stress for internalizing outcomes (i.e., psychological distress, self-acceptance) and externalizing outcomes (i.e., substance use, delinquency, violent behavior) among Chinese adolescents. We also examined John Henryism Active Coping as a protective factor in a test of resilience from the negative effects of stress. A cross-sectional survey using self-reported questionnaires was conducted in 2 urban cities in China: Beijing and Xian. Participants included 1,356 students in Grades 7 to 12 (48% male, 52% female). Structural equation modeling analyses were conducted to test the conceptual model. The modifying (protective) effects of John Henryism were tested in multiple-group analysis. After controlling for demographics, we found that stress was associated with decreased self-acceptance and increased psychological distress among adolescents. Higher degree of psychological distress was then associated with increased delinquent behaviors and substance use. The results also indicated that individuals who scored higher in John Henryism reported more substance use as a result of psychological distress. Overall, our results support previous research with Western samples. Although John Henryism did not serve as a protective factor between stress and its negative outcomes, the findings underscore the relevance of addressing stress and possible coping strategies among Chinese adolescents. Further research that refines the active coping tailored for Chinese adolescents is necessary to more precisely test its protective effects.