It has been demonstrated that self-efficacy and coping styles are related. However, whether there is a reciprocal longitudinal relation between self-efficacy and coping styles needs to be examined. In this longitudinal study, we tested the reciprocal impacts of self-efficacy and coping styles, taking into account the role of future self-continuity (FSC) in these effects. The sample included 346 university students in central and southwestern China (48.3% female; Mage = 21.20). Three waves of questionnaire data were collected at half-year intervals. Cross-lagged models were adopted for data analysis. Self-efficacy at Waves 1 and 2 positively predicted positive coping style at Waves 2 and 3, and positive coping style at Waves 1 and 2 positively predicted self-efficacy at Waves 2 and 3. Self-efficacy at Waves 1 and 2 negatively predicted negative coping style at Waves 2 and 3, while negative coping style at Waves 1 and 2 did not significantly predict self-efficacy at Waves 2 and 3. These results indicated the reciprocal causation of self-efficacy and coping styles. Additionally, the mediation analysis revealed that FSC at Wave 2 played a mediating role in the unidirectional association between self-efficacy at Wave 1 and negative coping style at Wave 3. These findings suggest that self-efficacy and coping style have mutual influences over time partly explained by university students' FSC. Consequently, the results offer potential applied value for promoting positive coping strategies among university students.