Self-efficacy is a key construct in behavioral science affecting mental health and psychopathology. Here, we expand on previously demonstrated between-persons self-efficacy effects. We prompted 66 patients five times daily for 14 days before starting cognitive behavioral therapy (CBT) to provide avoidance, hope, and perceived psychophysiological-arousal ratings. Multilevel logistic regression analyses confirmed self-efficacy’s significant effects on avoidance in daily life (odds ratio [ OR] = 0.53, 95% confidence interval [CI] = [0.34, 0.84], p =.008) and interaction effects with anxiety in predicting perceived psychophysiological arousal ( OR = 0.79, 95% CI = [0.62, 1.00], p =.046) and hope ( OR = 1.21, 95% CI = [1.03, 1.42], p =.02). More self-efficacious patients also reported greater anxiety-symptom reduction early in treatment. Our findings assign a key role to self-efficacy for daily anxiety-symptom experiences and for early CBT success. Self-efficacy interventions delivered in patients’ daily lives could help improve treatment outcome.