The present study was designed to examine whether coping style influences the impact of self-efficacy on stressor-strain relations. It was hypothesized that high self-efficacy would weaken stressor-strain relations when accompanied by frequent use of active coping and infrequent use of avoidance coping. Data collected from 2,293 members of the U.S. Army revealed 3-way interactions among self-efficacy, role clarity, and active coping and among self-efficacy, work overload, and avoidance coping. As predicted, self-efficacy mitigated the effects of low role clarity on strain only when active coping was high. Also as expected, strain levels were lower for participants with high self-efficacy than for participants with lower self-efficacy when work overload was low but avoidance coping was high. Implications of these findings for occupational stress research are discussed.