Objective The purpose of this study was to explore the impact of self‐efficacy for coping with cancer (SECC) on physical fatigue and depressive symptoms in melanoma patients, in comparison with objective factors, such as treatment with interferon‐alpha (IFN‐α) and medical and sociodemographic variables. Current literature shows that psychological distress in melanoma patients is generally moderate, that they experience high quality of life, and that symptoms of depression and fatigue have been mostly associated with adjuvant IFN‐α treatment Methods A total of 175 melanoma patients, stages Ib–IIIc with and without low‐dose IFN‐α therapy, completed surveys on SECC, depression, and fatigue. Two hierarchical regression analyses were conducted to explore the predictive role of objective factors (first step: tumor stage, time since diagnosis, and current IFN‐α treatment; second step: age and gender) in conjunction with the subjective factor of SECC (third step) on physical fatigue and depression. Results Regression analysis revealed no significant effect of IFN‐α treatment upon depression. Current IFN‐α treatment was predictive of higher fatigue scores, however. The highest predictive effect by far was obtained for SECC, indicating higher fatigue and depression in patients with lower SECC. Conclusions The findings suggest that the treatment with IFN‐α is mainly accompanied by physical fatigue in melanoma patients rather than by mood changes. Most notably, the potential influence of increased SECC on reducing both physical fatigue and depression is suggested by the data, indicating the importance of self‐efficacy enhancing interventions in the psycho‐oncological support of melanoma patients. Copyright © 2013 John Wiley & Sons, Ltd.