Findings from a study of 27 victims of the Oklahoma City bombing are reported. This research focused on the importance of subjective appraisals of coping self-efficacy in predicting psychological distress following this tragedy. Results supported the hypothesis that judgments of coping self-eficacy taken 2 months after the bombing added significantly to the explanation of general and trauma-related distress after controlling for income, social support, threat of death, and loss of resources. Coping self-eficacy judgments taken I year later were also important in explaining psychological distress after controlling for loss of resources and social-support perceptions. Although coping self-efficacy perceptions taken at 2 months were related to distress levels 1 year later, they did not remain significant in a regression analysis controlling for loss of resources and income. Implications of these findings for post-terrorist bombing interventions are discussed.