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The importance of self-esteem during the course of oncological illness has been well-documented by some previous studies. However, data assessing its association with various coping strategies, especially considering the period of illness, are still scarce. The objective of this study is to analyze the differences in coping strategies among oncological adolescents, taking into account their self-esteem, illness period, age, and sex. A total of 201 oncological patients between the ages of 12 and 17 from three different Spanish cities were included in this study. All of them were asked to answer a tailored questionnaire, encompassing information about age, sex, and illness period. Additionally, the coping strategies were measured using the ACS scale, while self-esteem was evaluated using the SENA questionnaire. The results demonstrated that male adolescents and older individuals exhibited higher levels of self-esteem. The main coping strategies associated with higher self-esteem were "ignore the problem", "focus on positive", "physical recreation", and "wishful thinking" both during the treatment and the follow-up phases. We conclude that higher self-esteem is associated with some of the coping strategies such as "focus on positive", "ignore the problem", and "wishful thinking". Sociodemographic variables influence the relationship between self-esteem and coping strategies, but no differences were found regarding the period of illness.