Physical illness may precipitate psychological distress among older adults. This study examines whether social support and self-efficacy moderate the associations between physical health and depression and anxiety. Predictions were tested in 222 individuals age 60 or older presenting for help with worry. Physical health was assessed through self-report (subjective) and physical diagnoses (objective). Objective physical health did not have a significant association with depression or anxiety. Worse subjective physical health was associated with increased somatic anxiety, but not with depression or worry. The relationship between subjective physical health and depressive symptoms was moderated by self-efficacy and social support. As predicted, when self-efficacy was low, physical health had its strongest negative association with depressive symptoms such that as physical health improved, depressive symptoms also improved. However, the moderation effect was not as expected for social support; at high levels of social support, worse physical health was associated with increased depressive affect.