Background: Psychological distress during menopause may reflect the combined influence of symptom burden and psychological resources. This study examined the concurrent conditional associations of nonpsychological menopausal symptom burden and general self-efficacy with anxiety and depressive symptom severity. Methods: This cross-sectional study included 247 peri- and postmenopausal women recruited from hospital and community settings in Timișoara, Romania. Participants completed the Hospital Anxiety and Depression Scale, Menopause Rating Scale, Menopause-Specific Quality of Life Questionnaire, General Self-Efficacy Scale, and COPE Inventory. Associations were examined using Spearman correlations and multivariable linear regression with HC3 robust inference. Results: At least borderline anxiety and depressive symptoms were identified in 54.7% and 42.5% of participants, respectively. In the fully adjusted psychological-resource models, greater nonpsychological menopausal symptom burden was associated with higher anxiety (β = 0.311, p < 0.001) and depression scores (β = 0.239, p < 0.001). Higher general self-efficacy was associated with lower anxiety (β = −0.169, p = 0.009) and depression scores (β = −0.319, p < 0.001). Although self-reported surgical menopause was associated with lower anxiety and depression scores relative to early perimenopause in the primary models, these associations were attenuated and no longer statistically significant in the restricted sensitivity analysis. Conclusions: Nonpsychological menopausal symptom burden and general self-efficacy were concurrent conditional correlates of anxiety and depressive symptom severity. The cross-sectional design does not establish temporal direction or causal effects, and the surgical-menopause finding should not be interpreted as protective.