Research has shown that self-efficacy is one of the most important personal resources in the work context. However, research on working life has mainly focused on a cognitive and task-oriented dimension of self-efficacy representing employees’ perceptions of their capacity to successfully complete work tasks. Thus, little is known about the influence that believing in one’s social and emotional competence could have. This thesis aims to expand previous theory regarding self-efficacy in the workplace by investigating social, emotional, and cognitive self-efficacy dimensions in relation to leadership, health, and well-being.   The thesis rests on four empirical studies, all related to health and well-being, and including at least one self-efficacy dimension. Study I employed questionnaire data from 169 Swedish high school students. The other three studies were based on questionnaire data obtained during a three-year international health-promoting leadership research project. These participants were employees and leaders from 229 different teams in 12 organizations in Sweden and Germany representing a wide range of occupations. Study I supported the idea that emotional self-efficacy is an important antecedent to prosocial behaviour and also highlighted the value of differentiating between different dimensions of self-efficacy. Study II validated the new work-related Occupational Social and Emotional Self-efficacy Scales; and indicated that these dimensions are positively related to well-being. However, Study III showed that emotional exhaustion in followers crossed over to leaders when the leaders’ emotional self-efficacy was high. Study IV revealed that transformational leadership and social self-efficacy can be positive for team climate. The main theoretical contribution of this thesis is to expand previous theory regarding self-efficacy in the workplace by incorporating social, emotional, and cognitive dimensions. The main practical implication is that the new Occupational Social and Emotional Self-efficacy Scales can be used to promote health and well-being in the workplace through activities such as recruitment, staff development, and team-building. This thesis suggests that (a) training managers to exert transformational leadership behaviours may simultaneously promote team climate, and this process may be mediated by social self-efficacy, (b) it may be counterproductive to enhance leaders’ emotional abilities in a team of exhausted followers, since the result can be an exhausted leader rather than an exhilarated team, (c) interventions aimed at improving health and well-being should be specific to each work setting, and (d) a more holistic approach where the mutual influence between leaders and followers is considered may be beneficial for healthier work environments.