Self-efficacy beliefs do not reflect a generic sense of competence, but are instead context-specific. Therefore, self-efficacy should be assessed by using an ad hoc scale measuring individual behaviors that allows social workers to exercise influence over events that affect their work life. The present study describes the development and initial validation of the self-efficacy scale for social workers (SESSW). Items were generated through the Critical Incident Technique. Sixteen social workers with at least 10 years of service participated in two focus groups; they were asked to recall critical incidents in their work and to indicate the most effective behaviors to manage the incidents. Content analysis of the focus group transcripts provided 13 key self-efficacy beliefs. The 13-item scale was validated with a sample of 805 social workers. Data were analyzed using a split-sample technique. Exploratory factor analysis on the first split sample (n = 402) revealed three dimensions of self-efficacy, corresponding to emotion regulation, support request, and procedural self-efficacy. The three-factor structure of the scale was further confirmed with confirmatory factor analysis on the second split sample (n = 403). Our results show that SESSW is an adequate instrument for assessment of self-efficacy beliefs in social work.