Objectives. In a sample of primary care participants with chronic physical conditions and comorbid depressive symptoms: to describe the cross-sectional and longitudinal associations of activation and self-efficacy with demographic, physical and mental health status, health behaviors, depression self-care, health care utilization, and use of self-care tools; and to examine the effects of a depression self-care coaching intervention on these two outcomes. Design/Study Setting. A secondary analysis of activation and self-efficacy data collected as part of a randomized trial to compare the effects of a telephone-based coached depression self-care intervention with a noncoached intervention. Activation (Patient Activation Measure) was measured at baseline and 6 months. Depression self-care self-efficacy was assessed at baseline, at 3 months, and at 6 months. Principal Findings. In multivariable cross-sectional analyses (n = 215), activation and/or self-efficacy were associated with language, birthplace, better physical and mental health, individual exercise, specialist visits, and antidepressant nonuse. In longitudinal analyses (n = 158), an increase in activation was associated with increased medication adherence; an increase in self-efficacy was associated with use of cognitive self-care strategies and increases in social and solitary activities. There were significant improvements from baseline to 6 months in activation and self-efficacy scores both among coached and noncoached groups. The self-care coaching intervention did not affect 6-month activation or self-efficacy but was associated with quicker improvement in self-efficacy. Conclusions. Overall, the results for activation and self-efficacy were similar, although self-efficacy correlated more consistently than activation with depression-specific behaviors and was responsive to a depression self-care coaching intervention.