Understanding patient experience is associated with quality, safe, and effective healthcare. However, there is a scarcity of knowledge explaining how patients experience non-conveyance, a setting where individuals receive unscheduled ambulance service response and paramedic-led care that results in a decision to not attend a hospital emergency department (ED). This research project aimed to investigate patients’ experiences of non-conveyance within an Australian ambulance service setting. Constructivist Grounded Theory methods were used to generate and analyse data from in-depth, semi-structured interviews with 21 participants who received paramedic-led healthcare from an Australian ambulance service between August 2020 and October 2021 that resulted in non-conveyance. A substantive theory centred on ‘Restoring self-efficacy’ was generated. It comprises three categorical concepts and their interconnected relationships, explaining how patients experience non-conveyance. ‘Losing independence’ conceptualises how a precipitating event forces patients to realise their circumstantial vulnerabilities, motivating action to seek support that leads to ambulance service response. ‘Restoring self-confidence’ emerged as the core concept, central to overall experience and a key influence on patients navigating the non-conveyance decision. When patients perceive that they have received professionally thorough and compassionate healthcare from paramedics, they form a trusting partnership resulting in the interpretation that their circumstances do not require conveyance to ED. With this reconstructed perspective, patients demonstrate increased ability for ‘Self-management’, by continuing to cope with their circumstances on their own after the episode of care. This paper provides a theoretical model for understanding how patients experience non-conveyance. Experience is influenced by dynamic, complex factors associated with restoring self-efficacy in relation to managing a health topic of interest. Restoration of self-efficacy was influenced by the patients’ interpretation of their interactions with paramedics. Future research may consider investigating the impacts of applying this knowledge to paramedic education and practice, and to quality indicators surrounding non-conveyance situations.