In the last decade, the rate of recorded death by suicide has drastically increased, with teenagers and young adults being the most affected. Although depression and anxiety are most commonly associated with suicide, researchers are beginning to acknowledge suicide-related behaviours as a mental health concern in itself which is comorbid with mental health disorders instead of it being just a symptom of disorders. Bandura’s theory of self-efficacy proposes that one’s belief in their own coping abilities, which is also known as coping self-efficacy, influences two important decisions. The first is the decision of whether one wants to engage in coping behaviours or not and the second is how much effort to invest in the coping behaviour. Research suggests that individuals with low coping self-efficacy may engage in ineffective and passive coping strategies such as avoidance which does not resolve the problem, resulting in recurrent stress. Persistent stress results in feelings of defeat and entrapment, which if combined with low coping self-efficacy and inefficient coping, results in a tunnel vision where suicide-related behaviours seem like the only solution. Coping self-efficacy comprises of three dimensions, namely, stopping unwanted thoughts and emotions, problem-solving and getting support from friends and family, each influencing adoption of coping strategies differently and affecting mental health and well-being. Although modifying an individual’s beliefs and coping selfefficacy is a challenging process, this variable can be used as an indicator of suicidal risk in the future. Professionals may find it useful to identify low coping self-efficacy and implement treatments aimed at improving coping self-efficacy on the three dimensions. This literature review presents findings and theories on depression, suicide-related behaviours, dimensions of coping self-efficacy and its influence on coping behaviours and mental health.