Background: In this cross-sectional study we explored relationships between aggressive and violent behaviors and emotional self-efficacy (ESE) in a statewide sample of public high school adolescents in South Carolina (N = 3836). Methods: The US Centers for Disease Control and Prevention Youth Risk Behavior Survey items on aggressive and violent behavior items and an adolescent ESE scale were used. Logistic regression analyses and multivariate models constructed separately, revealed significant race by sex findings. Results: Results suggest that carrying a weapon to school (past 30 days) and being threatened or injured with a gun, knife, or club at school (past 12 months) were significantly associated (p < 0.05) with reduced ESE for specific race/sex groups. Conclusions: Results have implications for school- and community-based mental health services and social and emotional learning and aggression/violence prevention programs for adolescents. Measures of ESE as a component of comprehensive assessments of adolescent mental health, social and emotional learning and aggressive/violent behaviors in fieldwork, research, and program-evaluation efforts should be considered.