Findings from studies examining self-efficacy and its relationship to weight loss have been inconsistent. We examined self-efficacy specific to changing eating behaviors in the PREFER trial, an 18-month behavioral weight-loss study, to determine if self-efficacy and dietary adherence were associated with weight change, and what impact self-efficacy had on weight change after controlling for adherence. Measurements included the weight efficacy lifestyle (WEL) questionnaire, body weight, self-reported fat gram intake, kilocalorie intake, and adherence to kilocalorie and fat gram goals at baseline, 6, 12, and 18 months. The sample (N = 170) was 88.2% female and 70.0% Caucasian; the mean age was 44.1 years (SD = 8.8). Mean weight loss at 18 months was 4.64% (SD = 6.24) of baseline body weight and the mean increase in self-efficacy was 11.70% (SD = 38.61). Self-efficacy improved significantly over time (p = 0.04) and was associated with weight loss (p = 0.02). Adherence to the fat gram goal was associated with weight loss (p = 0.0003), and self-efficacy remained associated with weight loss after controlling for fat gram adherence (p = 0.0001). Consistent with self-efficacy theory, improvement in self-efficacy over time supported greater weight loss. Adherence to the fat gram goal also influenced weight loss.