The way a coping strategy is expressed might depend on the nature of underlying efficacy expectations. For example, a cognitive coping strategy may have different content depending on efficacy beliefs underpinning the strategy's formulation and application. As such, self-efficacy (SE), as an appraisal, may moderate relationships between coping and outcomes: coping effects may differ depending on SE. This process was examined in 127 rheumatoid arthritis patients attending routine patient education/self-management programmes. Participants completed questionnaire measures of SE, coping, anxiety and depression at baseline and at 8 weeks follow-up. Regression analyses focused on coping and SE change variables, and their concurrent association with measures of change in anxiety and depression. Results highlighted contributions to these emotional variables from interactions between coping and SE. The nature of associations between coping and emotional outcomes was found to differ according to efficacy appraisals. This may have implications for clinical practice in that the adaptive significance of adjustment efforts may differ according to underlying SE.