Objective To determine the possible predictive value of self-efficacy on health-related quality of life (HRQoL) in patients with SLE. Methods Patients with SLE from the Almenara Lupus Cohort were included. Self-efficacy was ascertained with the six domains from the Patient-Reported Outcomes Measurement Information System (PROMIS) self-efficacy for managing chronic conditions. For PROMIS domains, a score of 50 is the average for a clinical population (people with a chronic condition), a higher score indicates that the respondent has greater self-efficacy. HRQoL was ascertained with the physical and mental component summary (PCS and MCS) measures of the Short-Form 36 (SF-36). Generalised estimating equations were performed, using as outcome the PCS or MCS in the subsequent visit, and the self-efficacy domain in the previous visit; multivariable models were adjusted for possible confounders. The confounders were measured in the same visit as the self-efficacy domain. Results Two-hundred and nine patients for a total of 564 visits were included; 194 (92.8%) patients were women and mean age at diagnosis was 36.4 (14.0) years. In the multivariable models, a better PCS was predicted by a better self-efficacy for managing symptoms, managing medications and treatments and managing social interactions and general self-efficacy; a better MCS was predicted by a better self-efficacy for managing daily activities, managing symptoms, managing medications and treatments and managing social interactions. Conclusion A better self-efficacy is predictive of subsequent better HRQoL, even after adjustment for possible confounders. These results should encourage clinicians to develop strategies to improve self-efficacy in patients with SLE.