Purpose: Many patients prefer an active role in making decisions about their care and treatment, but participating in such decision-making is challenging. The aim of this study was to explore whether patient-reported outcomes (quality of life and patient satisfaction), patients’ coping strategies, and sociodemographic and clinical characteristics were associated with self-efficacy for participation in decision-making among patients with advanced cancer. Methods: We used baseline data from the ACTION trial of patients with advanced colorectal or lung cancer from six European countries, including scores on the decision-making participation self-efficacy (DEPS) scale, EORTC QLQ-C15-PAL questionnaire, and the EORTC IN-PATSAT32 questionnaire. Multivariable linear regression analyses were used to examine associations with self-efficacy scores. Results: The sample included 660 patients with a mean age of 66 years (SD 10). Patients had a mean score of 73 (SD 24) for self-efficacy. Problem-focused coping (B 1.41 (95% CI 0.77 to 2.06)), better quality of life (B 2.34 (95% CI 0.89 to 3.80)), and more patient satisfaction (B 7.59 (95% CI 5.61 to 9.56)) were associated with a higher level of self-efficacy. Patients in the Netherlands had a higher level of self-efficacy than patients in Belgium ((B 7.85 (95% CI 2.28 to 13.42)), whereas Italian patients had a lower level ((B −7.50 (95% CI −13.04 to −1.96)) than those in Belgium. Conclusion: Coping style, quality of life, and patient satisfaction with care were associated with self-efficacy for participation in decision-making among patients with advanced cancer. These factors are important to consider for healthcare professionals when supporting patients in decision-making processes.