This study sought to determine the differential influence of self- and collective efficacy beliefs on the psychological well-being of individuals within a community in transition. A cross-sectional survey design was used to collect data from 1050 Setswana speaking participants from urban (n = 451) and rural (n = 599) areas in the North-West Province of South-Africa. The Community Collective Efficacy Scale (CCES) and the Generalized Self-Efficacy Scale (GSE), as well as the Affectometer 2 (AFM) and Satisfaction with Life Scale (SWLS) were administered. Descriptive statistics, as well as correlational and regression analyses were conducted to determine the association between self-efficacy and collective efficacy, and the different measures of psychological well-being. Results indicated that participants from the urban context reported higher levels of both self-efficacy and collective efficacy, as well as higher levels of psychological well-being than their rural counterparts. A strong and significant relationship was found between self-efficacy and collective efficacy, and between efficacy beliefs and psychological well-being. Efficacy beliefs are important factors in the prediction of psychological well-being. Raising either self-efficacy or collective efficacy should lead to higher psychological well-being and better adjustment during the process or urbanisation.