College students experience intense stress due to various sources that put them at risk of developing negative health outcomes. Studies highlight the importance of providing support to students due to difficulties in coping with the stress and anxiety they experience. Bringing stress management skills to students is significant in terms of coping with their current problems healthily and preventing health problems. This study examined the effect of an 8-week theoretical and applied stress management training on college students' anxiety, stress, and self-efficacy beliefs. Two hundred participants took part in two groups, experimental and control. The experimental group was given theoretical (e.g., psychoeducation about stress, its effects, coping, and social support) and practical (e.g., relaxation training, mindfulness-based relaxation, imagination) stress management training for eight weeks. No application was made to the control group. Both groups' perceived stress, anxiety, and self-efficacy levels were measured before and after the training. Results indicated a decrease in anxiety levels for the experimental group. Although the change was statistically significant for anxiety, stress levels remained marginally significant. In addition, the results showed that the self-efficacy beliefs of the students in the experimental group increased significantly at the end of the training compared to the control group. In this context, it is assumed that the research will contribute to the literature regarding the protective/preventive role of stress management training for college students.