Objectives This study aimed to investigate self‐efficacy levels of patients after finishing rehabilitation for chronic musculoskeletal conditions and identify factors related to self‐efficacy. Method Two hundred and eight patients aged >40 years with musculoskeletal disorders were included. Self‐efficacy was assessed by the Chronic Pain Self‐Efficacy Scale (CPSS), and regression analyses were used to test six predictors of self‐efficacy: age, symptom duration, number of physical therapy sessions, postdischarge pain intensity, perceived clinical improvement, and cognitive reassurance. Self‐efficacy was compared between patients who reported improvement and worsening of their clinical condition, and a cutoff value for self‐efficacy was established using receiver operating characteristic curve analyses to distinguish patients with severe pain from those with mild to moderate pain. Results Better perceived clinical improvement (Beta = −0.37, p = 0.000), lower pain intensity (Beta = −0.33, p = 0.000), and a lower number of physical therapy sessions (Beta = −0.12, p = 0.027) were related to greater self‐efficacy. No significant associations were observed between self‐efficacy and age, symptom duration, and cognitive reassurance. The patients who reported improvement had greater self‐efficacy (204.76 ± 52.80) than those who reported worsening of their clinical condition (145.45 ± 44.18; p = 0.000). A CPSS score of 172 points (sensitivity of 0.77; specificity of 0.72) may indicate low self‐efficacy. Conclusion A higher perception of self‐efficacy after discharge from physiotherapy is associated with better perceived clinical improvement, lower pain intensity, and a lower number of physical therapy sessions. Therefore, interventions to support patients' exercise‐based rehabilitation should include self‐efficacy, which may affect the prognosis of patients with chronic conditions.