Next to physical health problems and economic damage, the coronavirus disease 2019 (COVID-19) pandemic and associated lockdown measures taken by governments of many countries are expected to cause mental health problems. Especially for adolescents, who highly rely on social contacts with peers, the prolonged period of social isolation may have detrimental effects on their mental health. Based on the mood management theory, the current study examines if social media are beneficial for adolescents to cope with feelings of anxiety and loneliness during the quarantine. A survey study among 2,165 (Belgian) adolescents (13-19 years old) tested how feelings of anxiety and loneliness contributed to their happiness level, and whether different social media coping strategies (active, social relations, and humor) mediated these relations. Structural equation modeling revealed that feelings of loneliness had a higher negative impact on adolescents' happiness than feelings of anxiety. However, anxious participants indicated to use social media more often to actively seek for a manner to adapt to the current situation, and to a lesser extent as a way to keep in touch with friends and family. The indirect effect of anxiety on happiness through active coping was significantly positive. Participants who were feeling lonely were more inclined to use social media to cope with lacking social contact. However, this coping strategy was not significantly related to their happiness feelings. Humorous coping was positively related with feelings of happiness, but not influenced by loneliness or anxiety. To conclude, social media can be used as a constructive coping strategy for adolescents to deal with anxious feelings during the COVID-19 quarantine.