Adolescence is a period sensitive to stress; however, coping can contribute to a positive adaptation, which tends to change based on some personal variables such as sex, age, and contextual ones, such as culture. The objective of this work was to analyze the influence of sex, age, and culture on coping strategies with Paraguayan and Mexican adolescents. A cross-sectional field study was carried out, ex post facto, of a comparative type of two independent samples with a 2 x 2 x 2 design. In total, 2278 Paraguayan (n = 1188) and Mexican (n = 1090) school adolescents, aged 13–18 (M = 15.15; SD = 1.48), participated intentionally. The Coping Scale for Adolescents (ACS) was applied, which evaluates three styles and 18 coping strategies, and a sociodemographic card. Differences and main effects were found by age and country in productive coping styles, nonproductive and with reference to others, and in some of their strategies. Women use more coping strategies, many related to the search for social support. Early Paraguayan and Mexican adolescents tend to present fewer productive strategies. Only interaction effects of sex and culture were observed in coping styles. These data provide evidence that could be useful for public health prevention and promotion policies in adolescents.