Participants who reported either low or high self-efficacy for tolerating painful stimuli were randomly assigned to conditions, in which they either did or did not have a choice of strategies for coping with arm shock. Choice and self-efficacy were positively associated with increases in perceived control. Being given a choice, in comparison to having no choice, led to increased tolerance of arm shock and lower pain reports for those with high self-efficacy. Providing a choice of strategies did not benefit those with low self-efficacy. This study demonstrates that the benefits of allowing individuals the opportunity of choosing among an array of coping options depend on a prior conviction that one is able to cope.