The transition to college and its associated social challenges could trigger social anxiety and depression among young college students. There is a paucity of literature relating coping self-efficacy, coping strategies, social anxiety and depression. The current study aims to fill this gap by finding the contributions of gender, coping self-efficacy (CSE), and coping strategies onto the levels of social anxiety and depression among college students. It also aims to find race-ethnicity differences, considering students' level of social anxiety and depression. One hundred and fifty-eight students were recruited from the undergraduate psychology subject pool at a northeastern university. The Liebowitz Social Anxiety Scale, Diagnostic Inventory for Depression, Coping Self-Efficacy Scale and Brief COPE were used to measure the study variables. A one-way ANOVA and simultaneous multiple linear regression analyses were conducted to examine data. There were no significant race-ethnicity differences in social anxiety, depressive symptom severity, psychosocial impairment, and quality of life. However, gender and self-blame significantly predicted social anxiety; substance use, behavioral disengagement, and self-blame significantly predicted depressive symptom severity; and social support CSE significantly predicted psychosocial impairment. Gender, dysfunctional coping strategies and social-support CSE were significantly associated with social anxiety and depression among college students. The results have important implications for treatment intervention and outreach by college counseling personnel.