Purpose: The purpose of this paper is to investigate the mediating roles of work and family demands and work-life balance on the relationship between self-efficacy (to regulate work and life) and work engagement. Specifically, it seeks to explain how self-efficacy influences employees’ thought patterns and emotional reactions, which in turn enable them to cope with work and family demands, and ultimately achieve work-life balance and work engagement. Design/methodology/approach: Structural equation modelling (SEM) of survey data obtained from a heterogeneous sample of 1,010 Australian employees is used to test the hypothesised chain mediation model. Findings: The SEM results support the hypothesised model. Self-efficacy was significantly and negatively related to work and family demands, which in turn were negatively associated with work-life balance. Work-life balance, in turn, enabled employees to be engaged in their work. Research limitations/implications: The findings support the key tenets of social cognitive theory and conservation of resources (COR) theory and demonstrate how self-efficacy can lead to work-life balance and engagement despite the presence of role demands. Study limitations (e.g. cross-sectional research design) and future research directions are discussed. Originality/value: This study incorporates COR theory with social cognitive theory to improve understanding of how self-efficacy enhances work-life balance and work engagement through a self-fulfilling cycle in which employees achieve what they believe they can accomplish, and in the process, build other skills and personal resources to manage work and family challenges.