This experiment examined the impact of experimentally varied perceived self-efficacy in exercising control over stressors on components of the immunological system. Immunological changes while coping with phobic stressors were measured within an intrasubject control design that included a baseline phase, an efficacy-acquisition phase, and a maximal-efficacy phase. In each of these phases, perceived coping self-efficacy, level of autonomic and endocrine activation, and several components of the immunological system were measured. Development of strong perceived self-efficacy to control phobic stressors had an immunoenhancing effect. A slow growth of perceived self-efficacy, heart rate acceleration, and cortisol activation attenuated immunological system status during the efficacy-acquisition phase. Rapid growth of perceived self-efficacy also predicted maintenance of immunoenhancement during the maximal perceived self-efficacy phase.