Cognitive appraisal before competition includes self-efficacy, traditionally defined as motivation and the perceived ability to perform well; presumably, both dimensions would affect the biological response to a contest. We aimed to analyze the role of self-efficacy in the psychobiological response to a competition in women. Forty university students were confronted in pairs on a laboratory competition while hormonal and emotional changes were measured. Our results indicated that self-efficacy was positively related to testosterone levels and positive mood, and also to better performance. These results empirically support the importance of main dimensions of the cognitive appraisal in androgenic and emotional responses to competition. In addition, they emphasize the importance of cognitive processes in this response. In conclusion, the relationship between androgens and self-efficacy may play an important role as a facilitator of performance in competitive settings.