Coping strategies endorsed by adolescents in dealing with a potential threat to their health were assessed in a study which investigated components of protection motivation theory. Year 9 and 10 high school students were presented with information about cardiovascular disease risk and the role of exercise in maintaining cardiorespiratory fitness. Three components specified by the theory were manipulated: response efficacy (effectiveness of exercise in preventing cardiovascular disease), response costs (costs associated with taking up a regular program of exercise) and self‐efficacy (belief in ability to carry out a program of exercise) in a 2 × 2 × 2 factorial design with two levels (high vs. low) of each variable. It was hypothesized that such information would affect participants' perceptions of response efficacy, response costs, self‐efficacy, and their selection of coping strategies. Six dependent variables were investigated: two adaptive coping strategies (behavioral intention to exercise, rational problem solving) and four maladaptive strategies (avoidance, wishful thinking, hopelessness, arid fatalism). Manipulation checks found significant differences between the high and low conditions of each independent variable. Adaptive strategies were strongly endorsed, whereas endorsement of the maladaptive strategies ranged from minimal to complete disagreement. Participants in the high self‐efficacy condition indicated stronger intentions to exercise. Students in the low response efficacy condition demonstrated more endorsement of hopelessness and fatalism than did students in the high response efficacy condition. When exercising status was included as a fourth independent variable, it was found that active adolescents endorsed the adaptive coping strategies more strongly than did inactive adolescents. The cognitive coping strategies adopted by adolescents when dealing with perceived threats to their health may be influenced by information on the efficacy of relevant behavior, by perceptions of their ability to perform such behavior, and by their actual involvement with the behavior of