Abstract: This study examined the effects of goal orientations endorsed by Ethiopian university students on their coping strategies when they encountered setbacks in their academic life and their self-efficacy. Participants were 163 male and 63 female students. Multiple regression and analysis of variance were used for the analysis purposes. Thus the research result in mastery goal orientation predicted active coping (β = 0.157, p<0.05), positive reinterpretation and growth (β = 0.288, p<0.001), planning (β = 0.245, p<0.001) in the face of failure whereas only performance avoidance goal predicted negative coping strategies. There is a significant difference in endorsing performance goal orientation due to gender difference in favor of male participants.