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Findings from a study of 27 victims of the Oklahoma City bombing are reported. This research focused on the importance of subjective appraisals of coping self‐efficacy in predicting psychological distress following this tragedy. Results supported the hypothesis that judgments of coping self‐eficacy taken 2 months after the bombing added significantly to the explanation of general and trauma‐related distress after controlling for income, social support, threat of death, and loss of resources. Coping self‐eficacy judgments taken I year later were also important in explaining psychological distress after controlling for loss of resources and social‐support perceptions. Although coping self‐efficacy perceptions taken at 2 months were related to distress levels 1 year later, they did not remain significant in a regression analysis controlling for loss of resources and income. Implications of these findings for post‐terrorist bombing …