The aim of the study was to explore the coping strategy and the effects of self-efficacy of Chinese undergraduate nursing students when they face the stress in clinical practice. Convenience sampling was used to recruit undergraduate nursing students in Mainland China who have practiced 3 months in hospitals in their final college year. Self-report questionnaires including demographics, Perceived Stress Scale, coping behaviour inventory and Generalized Self-Efficacy Scale were collected. The results showed that during clinical practice, assignments and workload were the most common stress to students; transference was the most frequently used coping strategy by students. Self-efficacy not only had a positive main effect in predicting the frequency of use of staying optimistic and problem solving strategies but also moderated the effects of stress from taking care of patients on transference strategy, as well as stress from assignments and workload on problem solving strategy. It is essential to bolster the students' self-efficacy to reduce stress and adopt positively the coping strategies during clinical practice.