Optimistic attitudes of cancer patients are shown as an important personal resource for the psychological and physical adjustment to the illness. Coping styles and appraisals were suggested as indirect pathways through which optimism associates with better functioning in patients. The current study aimed to investigate the role of cancer-specific self-efficacy domains (i.e., coping with cancer-related side effects and stress, maintaining activity and independence, seeking and understanding medical information, and affect regulation and seeking social support) in the association between optimism and physical and psychological (i.e., depressive symptoms) well-being of cancer patients. A cross-sectional study was conducted with 120 patients in Ankara, Turkey. Majority of the participants were female, and about half of them were breast cancer patients. Participants filled a set of self-report questionnaires including Life Orientation Test-Revised, Cancer Behavior Inventory, Multidimensional Quality of Life Scale-Cancer, and Beck Depression Inventory. The data were analyzed separately for physical well-being and depressive symptoms through the bootstrapping method. Of the four self-efficacy domains, maintaining activity and independence accounted for a significant proportion of variance in the optimism-physical well-being and optimism-depressive symptoms relations. Findings highlight the importance of patients' beliefs in their ability to sustain their daily activities for having better physical and psychological well-being during cancer treatment as well as the role of optimism in promoting this particular self-efficacy domain. Interventions are suggested to focus on enhancing cancer patients' self-efficacy in maintaining activity and independence.