During their first practical classes at a clinical ward nursing students face a new environment; they take on new roles which is associated with stress and a need to handle it. The aim of this study was to evaluate the effect of a sense of self-efficacy on the level of stress and the ways of coping by Polish nursing students during the first practical classes at a clinical ward. The study included 394 undergraduate subjects studying nursing at two universities in Southern Poland. The study used the method of diagnostic questionnaire and estimation. The research tools included: an original questionnaire, Stress Scale (PSS10), Inventory to measure coping with stress (Mini Cope) and Generalized Self-efficacy Scale (GSES). Data analysis was performed using the IBM Statistical Package for Social Sciences, version 21 for Windows. The verification of differences between variables was performed using χ 2 independence test, Kruskal-Wallis test, and Spearman rank correlation coefficient . The level of significance was accepted at α = 0.005. The level of stress and a sense of self-efficacy in majority of tested nursing students were high. The people with low levels of perceived stress had a significantly higher sense of self-efficacy (rhoSpearman = − 0.196; p = 0.0001). The people with a higher sense of self-efficacy significantly more often used active strategies in stressful situations, such as Active coping (rhoSpearman = 0.284; p < 0.0001), Planning (rhoSpearman = 0.318, p ≤ 0.0001), Positive revaluation (rhoSpearman = 0.228, p < 0.0001), Acceptance (rhoSpearman = 0.188; p = 0.0002), Seeking Emotional Support (rhoSpearman = 0.123; p = 0.0143). A sense of self-efficacy had a significant impact on the level of stress and the ways of coping with difficult situations in nursing students.