The uncertainty caused by the COVID-19 pandemic has exacerbated negative emotions, especially among adolescents, who feel unable to tolerate the uncertainty of the epidemic. However, the mechanism by which the intolerance of COVID-19-related uncertainty (COVID-19 IU) affects negative emotions in adolescents remains unclear. This study explored the underlying mechanism from COVID-19 IU to negative emotions using a moderated mediation model in adolescents. In total, 3037 teenagers completed a cross-sectional survey including measures of COVID-19 IU, risk perception, social exclusion, perceived efficacy, and negative emotions. The results showed that COVID-19 IU positively predicted negative emotions and that risk perception and social exclusion mediated this relationship. In addition, both the direct effect of COVID-19 IU on negative emotions and the mediating effect of risk perception on this relationship were moderated by perceived efficacy; in particular, COVID-19 IU had a greater impact on negative emotions among adolescents with lower levels of perceived efficacy. These findings suggest that COVID-19 IU is closely associated with negative emotions among adolescents and that effective measures should be taken to enable adolescents to improve their perceived efficacy and develop a reasonable perception of risk, help them eliminate the stigma of the disease, and strengthen their connections with society.