In this explanatory sequential mixed methods study, I explored the relationship between school climate, teacher self-efficacy (TSE), and teacher stress in a sample of high school teachers in Western Canada. I collected quantitative (Phase 1) and qualitative (Phase 2) data. For the quantitative phase, 61 teachers completed questionnaires that measured the variables under study. I sought to understand the relationship between teacher stress, school climate, and TSE through correlations, moderation, and multiple regression. Quantitative results suggested no significant moderation effect of TSE between school climate factors (i.e., collaboration, student relations, school resources, decision-making and instructional innovation) and stress. However, when controlling for school climate, teachers’ self-efficacy had a significant negative effect on stress. Post hoc analyses also identified that teachers’ sense of student relations, instructional innovation, and collaboration predicted higher levels of TSE. The quantitative results informed the qualitative phase through the creation of a semi-structured interview. I interviewed five teachers by asking questions that explored their stress appraisal process (positive and negative) from a Cognitive Theory of Stress and Coping perspective and the role school climate and TSE played in this appraisal process. Consistent with quantitative findings, themes I identified through reflexive thematic analysis (TA) suggested that TSE acts as a protective factor against teacher threat appraisals by fostering a sense of control within an environment of collaboration and support. Teachers perceived various contextual factors as sources of threat appraisals, such as the unpredictable demands of addressing student needs and meeting instructional and assessment benchmarks in the context of the COVID-19 pandemic. My study’s findings may inform policy and teaching practice to support educators in schools. By gathering quantitative and qualitative insights into how teachers appraise stressful situations and the transactions that they find challenging or harmful in a Canadian school context, this information can help school psychologists and school leaders foster TSE as a protective factor against stress.