Few studies have explored climate change worry in an in-depth manner among adolescents. Through survey studies with two cohorts of adolescents (2010, 2019/2020) we investigated relations between different forms of climate change worry, mental well-being, and pro-environmental behavior and what role coping plays in these relationships. Results show that climate change worry was negatively associated with subjective well-being, and positively associated with climate pessimism and pro-environmental behavior. Relations were strongest between macro worry and pro-environmental behavior, and between micro worry and mental well-being. Problem-focused coping was a mediator between worry and pro-environmental behavior and between meaning-focused coping and behavior, while distancing decreased the positive relation between worry and problem-focused coping. Meaning-focused coping and optimism worked as buffers between macro and micro worry and pessimism in some, but not all, cases. Most relationships remained significant when controlling for other variables in path-models. Finally, worry was more prevalent in the 2019/2020 cohort. Our findings highlight the need to consider different forms of worry and coping in studies about climate change worry.