Evidence suggests that self-efficacy can play an essential role as a protective factor as well as a mediator in the relationship between pain and disability in people suffering from chronic musculoskeletal pain. This study systematically reviewed and critically appraised the role of self-efficacy on the prognosis of chronic musculoskeletal pain. Study selection was on the basis of longitudinal studies testing the prognostic value of self-efficacy in chronic musculoskeletal pain. The Newcastle-Ottawa Scale, the Cochrane Collaboration's tool, and the Methodological Index for Non-Randomized Studies checklist were used to evaluate the risk of bias of included studies. A total of 27 articles met the inclusion criteria. Our results suggest that higher self-efficacy levels are associated with greater physical functioning, physical activity participation, health status, work status, satisfaction with the performance, efficacy beliefs, and lower levels of pain intensity, disability, disease activity, depressive symptoms, presence of tender points, fatigue, and presenteeism. Despite the low quality of evidence of included studies, clinicians should be encouraged identify people with chronic musculoskeletal pain who present low self-efficacy levels before prescribing any therapy. It may help clinicians in their clinical decision-making and timely and specific consultations with or referral to other health care providers. Perspective: This article presents promising results about the role of self-efficacy on the prognosis of chronic musculoskeletal pain. However, because of the low quality of evidence of included studies, these findings should be taken with caution, and further research is needed. (C) 2017 by the American Pain Society