ObjectiveSuicide among firefighters is a critical mental health concern that remains under studied. The interpersonal–psychological theory of suicidal behavior (IPTS) states that, to engage in lethal suicidal behaviors, an individual must possess thwarted belongingness, perceived burdensomeness, and fearlessness about death (IPTS factors). Social cognitive theory may assist IPTS in explaining suicidal behavior.MethodParticipants for the study were 216 volunteers and career firefighters. The sample was almost exclusively male, non‐Hispanic or Latino, and Caucasian with a mean age of 40.6. We examined the mediating effect of firefighter coping self‐efficacy (FFCSE) and coping self‐efficacy for trauma (CSE‐T) in the relationship between critical incidents and the IPTS factors. Moderated mediation analyses were performed with separate conditional effects of each social support subscale on the indirect effect of each self‐efficacy perception in the relationship between critical incidents and the IPTS factors.ResultsMediation analysis indicated that FFCSE did not mediate the relationships; however, CSE‐T did mediate the relationships between critical incidents and the IPTS factors. These significant indirect effects of CSE‐T were moderated by social support from significant other.ConclusionsCSE‐T within the context of significant other support is important to consider in understanding firefighter mental health.