Previous research suggests performance stress and different subjective behavior problems among adolescents at school. However, there is evidence that cognitive coping is a strong tool for reflecting on and regulating internalizing and externalizing behavior problems. Therefore, we investigated two assumptions: (1) Adolescents’ subjective performance stress is positively related to different subjective behavior problems (e.g., impulsivity, conduct problems, and inattention). (2) Adolescents with a high tendency to cognitively cope with an exam in math and low levels of subjective performance stress report fewer behavior problems than those with low levels of this tendency. We analyzed data from N = 194 adolescents (n = 104 female) at one secondary school. Adolescents’ cognitive abilities were tested, and they answered a questionnaire on subjective performance stress, cognitive coping, and subjective behavior problems. Adolescents high in cognitive coping and with low stress reported fewer behavior problems, except impulsivity. This finding suggests that cognitive coping with an exam in math is a resource for fewer subjective behavior problems and for learning math.