School belonging is a key indicator of students’ academic well-being that is threatened by adults’ and peers’ transgressions of discrimination. Moreover, the hierarchical power structure at school enables adults and peers to enact ethnic-racial discrimination differently, which is also more or less salient among Black, Asian American, and Latinx youth. Therefore, this study aimed to disentangle the links between adult and peer-perpetrated racial discrimination at school, five distinct coping strategies, and school belonging across ethnic-racial groups. Participants were 1686 students in grades 9–12. These results indicated that adolescents who reported peer discrimination also reported greater proactive and aggressive coping. Black youth who reported more adult discrimination also reported more proactive coping, whereas Asian and Latinx youth who reported more peer discrimination reported more proactive coping. Peer discrimination was indirectly associated with greater school belonging via proactive coping, whereas adult discrimination was directly and negatively related to belonging. These findings suggest that adolescents may be selecting to proactively cope when faced with the discrimination source they most often navigate.