Though African American and Hispanic women accounted for 14% of the female population in the USA, they represented 66% of the total HIV/AIDS diagnoses among women in 2007. Among men living with HIV, increased coping self-efficacy (SE) following a cognitive behavioral intervention has been related to decreased distress, anxiety, anger, and confusion, but comparable studies had not been carried out with HIV+ women. The purpose of this study was to examine the impact of changes in SE following a cognitive behavioral stress management plus expressive supportive therapy (CBSM+) intervention on depression and anxiety in low-income urban predominantly minority women living with AIDS. Women (n=451) were randomized to a group CBSM+ or individual informational intervention condition and completed baseline, post-intervention and long-term follow-up (12 months) assessments of depression, anxiety and SE. Women who were assigned to the CBSM+ group condition and increased their level of cognitive behavioral SE reported significant decreases in anxiety and depression at post-intervention and long-term follow-up in comparison with controls who did not improve. Results suggest that both cognitive behavioral skills and a concomitant increase in the perceived level of SE in the use of those skills are predictive of distress reduction.