This study investigated the direct and moderating effect of general self-efficacy on the relationship between stressors and well-being in Chinese societies. Survey data were collected from 386 and 306 employees in Hong Kong and Beijing, respectively. The results consistently showed that general self-efficacy was positively related to mental well-being and physical well-being. A series of hierarchical regressions revealed that general self-efficacy moderated the relationship between stressors and mental well-being, yet did not moderate the relationship between stressors and physical well-being. Results verified that general self-efficacy plays an important role in employees’ well-being in the collectivist society of China.