Background Socio‐emotional skills are critical to life outcomes such as achievement, well‐being and job success. However, existing research has mostly focused on the consequences of socio‐emotional skills, with less attention devoted to the role of school climate in the deployment of these skills. Aims This study investigated the role of school climate in socio‐emotional skills. More specifically, we investigated whether cooperative or competitive school climates are associated with students' socio‐emotional skills. Sample Our study utilized data from the OECD Survey on Social and Emotional Skills, collected from 10 cities across nine countries. Participants were 60,985 students, including 31,187 10‐year‐olds (49.70% females) and 29,798 15‐year‐olds (51.6% females). Methods We conducted multilevel structural equation modelling to test whether cooperative and competitive climates were associated with socio‐emotional skills. These skills include five broad domain skills and 15 more specific skills: task performance (self‐control, responsibility and persistence), emotion regulation (stress resistance, emotional control and optimism), collaboration (empathy, trust and cooperation), open‐mindedness (tolerance, curiosity and creativity) and engaging with others (sociability, assertiveness and energy). Results Our findings indicated a positive relationship between a cooperative climate and socio‐emotional skills. In contrast, the relationship between a competitive climate and socio‐emotional skills was primarily negative. Conclusion This study highlights the contrasting roles of cooperative and competitive climates in students' socio‐emotional skills.