The role of self-efficacy, an individual difference variable, in occupational stress research is seldom discussed, and is even rarely examined in Chinese societies. This study investigates the relationships between stressors, managerial self-efficacy (MSE) and job strains (job satisfaction, physical strain, and psychological strain). A total of 450 enterprise managers in eight cities of the People’s Republic of China completed a battery of structured questionnaires. The results of the study generally support that total stressors was positively related to physical and psychological strains. Related to the moderating effects of MSE on the stressor–strain relationship, only a significant moderating effect was found in predicting physical strain.