Previous research has largely failed to separate the between- and within-person effects in the longitudinal associations between academic stress, academic self-efficacy, and psychological distress (symptoms of anxiety and depression). Filling this research gap, this study investigated if academic self-efficacy mediated the relationship between academic stress and psychological distress at the intraindividual level during 3 years of upper secondary school. Gender moderation was also examined in the hypothesised model. The present sample consisted of 1508 Norwegian adolescents (baseline M age = 16.42; 52.9% high perceived family wealth; 70.6% Norwegian-born). The random intercept cross-lagged panel model results indicated (1) positive and time-invariant direct effects from academic stress to psychological distress, (2) academic self-efficacy partially mediated these effects, and (3) psychological distress impacted later academic stress. Academic stress was more strongly related to academic self-efficacy and psychological distress at the interpersonal level for boys, while the intraindividual impact of academic stress on psychological distress was stronger for girls. The study findings might have implications for school-based implementation strategies and theoretical development.