Background Self-efficacy,a characteristic that is protective against depressive symptoms, may be undermined by stressful life events. Aims To estimate the effects of stressful life events on self-efficacy, and to examine self-efficacy as a mediator of the effect of stressful life events on symptoms of depression. Method Using a sample of 2858 respondents from the longitudinal Americans' Changing Lives study, path analyses were used to evaluate interrelationships between self-efficacy, life events and symptoms of depression controlling for a variety of potentially confounding variables. Separate models were estimated for those with and without prior depression. Results For those with prior depression, dependent life events had a significant, negative impact on self-efficacy. For those without prior depression, life events had no effect on self-efficacy. Conclusions For those with prior depression, self-efficacy mediates approximately 40% of the effect of dependent stressful life events on symptoms of depression. Declaration of interest Sponsored by the Donaghue Women's Health Investigator Program at Yale University.