People appear to behave paradoxically, by persisting in repeated self-change attempts despite previous failures. It is argued, though, that self-change attempts provide some initial rewards even when unsuccessful. Feelings of control and optimism often accompany the early stages of self-modification efforts. In addition, unrealistic expectations concerning the ease, speed, likely degree of change, and presumed benefits of changing may overwhelm the knowledge of one's prior failures. It is thus important to learn to distinguish between potentially feasible and impossible self-change goals in order to avoid overconfidence and false hopes leading to eventual failure and distress.