This study investigated the temporal relationship between social self‐efficacy and psychological distress during 3 years in middle to late adolescence. The sample comprised 1508 participants (60.7% female; baseline mean age = 16.33, SD = .62; 52.9% high perceived family wealth; 70.6% born in Norway). We used a random intercept cross‐lagged panel model to investigate the concurrent and subsequent associations between the two constructs. The results indicated (1) small to moderate and negative associations between the trait‐like components and within‐person fluctuations of social self‐efficacy and psychological distress, (2) positive and significant carry‐over stability effects on both constructs across time, and (3) that psychological distress predicted subsequent social self‐efficacy more consistently across four time points, than social self‐efficacy predicted later psychological distress.