This study applied social cognitive theory to help explain the differential outcomes observed in conjugal bereavement. Specifically, a measure of bereavement coping self-efficacy was created and relationships tested with psychological, spiritual, and physical health outcomes. One hundred and one women whose husbands had died from cancer within the last year served as participants. Mean age of this relatively well-educated, predominately Caucasian sample was 54 years old. Median time since death was between 6 months and a year. Results supported the hypotheses that bereavement coping self-efficacy was a significant predictor of emotional distress, psychological well-being, spiritual well-being, and physical health perceptions after controlling for several other important factors. Theoretical and clinical ramifications of these findings are discussed.