Background: Although most adolescents successfully manage the transition between childhood and adulthood, the speed and magnitude of these changes may exceed the coping abilities of a significant number of young people. For vocational students, additional responsibilities arise during the vocational school transition and the need to balance academic and job-related requirements. An expanding body of literature suggests that adolescence is a vulnerable period for the development of psychiatric diseases and as such, the need to develop an adequate coping repertoire is receiving increasing attention globally. The growing awareness of long-term consequences of stress has led governments to instill school-based resilience promotion programs. For instance, the new physical education (PE) curriculum of vocational (vocational education and training (VET)) students in Switzerland addresses stress management, because stress-related diseases at the workplace have become commonplace among young professionals. Purpose: Our aim was to develop, implement and evaluate a PE-based coping training (EPHECT) for VET students. Therefore, we adapted components of extant field-tested coping training programs and tailored them to the unique needs of VET students. To facilitate the standardization of the program, each teacher received a teaching manual. Moreover, drawing upon experiential learning theory, we introduced the contents of the coping training in PE class through practical, movement-based exercises in PE. Students also received a workbook for use at home. Participants and research design: In this cluster randomized controlled trial, eight classes from a Swiss vocational school participated (N = 131, M age = 16.22 ± 1.12, 35% females). Two trained PE teachers implemented the program with students in the intervention group (IG = 67) for three months, while students in the other four classes maintained regular PE (CG = 64) to comprise the control group. To evaluate the coping training, all participants completed several self-report psychological questionnaires (assessing stress, coping and sleep) at baseline and follow-up. IG students completed further questions with regard to intervention fidelity at follow-up. Data analysis: To evaluate possible effects of the coping training on stress, coping and sleep, a 2 × 2 repeated-measures analysis of variance design was executed with time (pre vs. post) and group (IG vs. CG) as within- and between-subject factors. Findings: Over time, IG students significantly increased their adaptive coping compared to CG students, while stress and sleep remained relatively stable for both. Regularly completing one’s homework reinforced this effect because it was significantly associated with students’ reflection and compliance. Conclusion: A complete and accurate implementation of a PE-based coping training can make a positive contribution to the development of adaptive coping skills among adolescents attending vocational schools. This PE-based program allows students to experience their responses to stress directly and offers opportunities to experiment with different coping strategies. Adaptive coping skills are vital for successful stress management and the prevention of stress-related disorders across the work domain and in everyday life.