This study is part of the bigger project OPTIMAX - Optimizing Outcomes in Psychotherapy for Anxiety Disorders (Müller-Bardorff et al., 2022, https://psyarxiv.com/yezaj/). Self-efficacy is a key construct in behavioral science impacting mental health and psychopathology. Here, we expand on previously demonstrated between-person self-efficacy effects. We prompted 66 patients five times daily for 14 days prior to 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 (OR = 0.53, 95% 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.