Symptomatic knee osteoarthritis, a prevalent progressively disabling disease affecting one or both knee joints requires extensive self-management. Self-efficacy, a psychological attribute generally denoting one’s perceived belief about their ability to successfully perform a particular behavior, including health behaviors, is a significant predictor of psychological well-being, adherence to prescribed treatments, and pain coping mechanisms in persons with various forms of chronic disease, including arthritis. This paper examines the available peer-reviewed research published over the last 35 years detailing: i) the concept of self-efficacy, ii) the relationship between self-efficacy and adjustment to arthritis, iii) the research concerning self-efficacy in the context of knee osteoarthritis disability, and iv) some promising approaches for promoting the wellbeing of adults with knee osteoarthritis through the application of self-efficacy theory and other approaches. Based on this data, directions for future research and practice are offered.