Objective When receiving a cancer diagnosis, patients are often faced with psychological distress and loss of control. As a result, their psychological well‐being may be influenced by their perceived ability to cope with disease‐related and treatment‐related challenges. Research indicates that the patient–oncologist relationship may have an impact on patients' self‐efficacy. The aim was to examine predictors of self‐efficacy following a consultation in an oncology outpatient clinic and the predictors of change. Methods A total of 226 patients (mean age: 61 years, 40% male) attending an oncology outpatient clinic completed questionnaires before and after a consultation including the Hospital Anxiety and Depression Scale, two domain‐specific self‐efficacy scales measuring coping self‐efficacy and decision self‐efficacy, the Physician–Patient Relationship Inventory, and the Information Satisfaction Questionnaire. Results While most patients experienced an increase in self‐efficacy following the consultation, some patients experienced lower self‐efficacy post‐consultation. In the multivariate analysis, depressive symptoms emerged as a relatively strong predictor of both coping self‐efficacy and decision self‐efficacy, whereas marital status was a significant predictor of coping self‐efficacy, and satisfaction with information significantly predicted decision self‐efficacy. No significant associations were found between self‐efficacy and the patients' ratings of the physician–patient relationship. Conclusion Depression seems to be a potential risk factor for lower cancer‐related self‐efficacy, following an oncologist consultation. By identifying patients who exhibit symptoms of depression, health professionals can increase their attention on empowering these patients. Furthermore, our results suggest that patients' experience of self‐efficacy depends on what particular challenges they have to overcome. Copyright © 2013 John Wiley & Sons, Ltd.