We examined coping self-efficacy as one potential mediator of the relationship between four specific mindfulness skills (observing, describing, acting with awareness, and accepting without judgment) and emotion regulation difficulties. Participants were 180 undergraduate students (M age = 21.13; 71 % female; 82 % Caucasian) who completed self-report measures for course credit. Pearson correlations, independent samples t test, and ANOVAs were used to examine bivariate relationships between study variables. Simple mediation was examined in a path analysis framework by testing the indirect effect of mindfulness skills on emotion regulation difficulties through coping self-efficacy. Results indicated that a greater use of describing, acting with awareness, and accepting without judgment were associated with greater coping self-efficacy, and coping self-efficacy partially mediated the relationship between each of those skills and emotion regulation difficulties (indirect effects: b weight = −0.26 to −0.29, p < 0.01). The mindfulness skill of observing was not related to coping self-efficacy or emotion regulation difficulties. Findings suggest that coping self-efficacy partially explains the relationships between mindfulness and emotion regulation difficulties. Clinicians administering mindfulness-based interventions should be aware of the role of coping self-efficacy in the relationship between mindfulness and emotion regulation.