The relationships among adjustment problems, self-efficacy, and psychological distress were investigated in a sample of 207 Chinese gifted students in Hong Kong. A mediation-effect model specifying that adjustment problems had an effect on psychological distress mediated by self-efficacy was hypothesized and tested using structural equation modeling procedures. For comparison, a direct-effect model and a direct-and-mediation-effect model were also fitted to the data. The results indicated that the direct-and-mediation-effect model provided the best and a reasonably adequate fit, suggesting that the effects of adjustment problems on psychological distress could be direct, but more importantly the effects could also be mediated by self-efficacy. Implications of the findings for enhancing the self-efficacy of students to promote their psychological well-being are discussed. (Contains 6 tables and 1 figure.)