After bringing a strong message to believers to continue meeting together to encourage one another, especially as they saw the day of his coming drawing near (v. 25), Paul (the probable author) encourages them to hold on to their confidence in Him because He is definitely coming.
FOR YET IN A VERY LITTLE WHILE,
HE WHO IS COMING WILL COME, AND WILL NOT DELAY (Hebrews 10:37).
The emphasis in verse 37 is that He is coming probably sooner than they think—“in a very little while.” He wants them to be ready for His coming and so to continue trusting Him. We see also from this text that His coming will be definite, and will not be delayed. Hence His coming has an appointed time, and what we do or don’t do will not affect it. He will come on that appointed time no matter what.
Now as to what phase of His coming is referred to here, I think both phases are in view, according to who it applies to—believers or unbelievers. For the believer, the first phase (the rapture) is in view; and for the unbeliever, the second phase is in view (His second coming in judgment). The fact that Paul is addressing both believers and unbelievers is evident from the last two verses (vv. 38-39). There is the righteous one who lives by faith and then there is the one who shrinks back—the unbeliever.
Paul concludes in verse 39 by addressing only the true believers, telling them that they will not shrink back to destruction; they will be saved.