Rescue workers are frequently exposed to highly stressful situations during their everyday work activity. Stress and coping theory emphasizes the interaction between primary and secondary appraisal in determining coping responses to stressful events and quality of life. According to Social Cognitive Theory, stress reactions depend on self-appraisal of coping capabilities. The present study investigated whether self-efficacy moderates the relationship between stress appraisal and professional quality of life. A self-administered questionnaire was submitted to a sample of 451 Italian rescue workers (firefighters, paramedics, and medical technicians), including the Professional Quality of Life Scale, which measures three dimensions of emergency workers' quality of working life: compassion fatigue, burnout, and compassion satisfaction. Multiple regression analyses indicated that the relationship between stress appraisal and professional quality of life was significant only among rescue workers with low levels of self-efficacy but not among those with higher levels of self-efficacy. These results confirmed the expectations based on Social Cognitive Theory that self-efficacy buffers the impact of perceived stressful encounters on professional quality of life. Results suggest the usefulness of interventions aimed at increasing rescue workers' psychosocial skills.