Coping styles utilized by family caregivers of persons with schizophrenia have been implicated in the mental health of those caregivers and in the course of schizophrenia. We tested the relation between caregivers’ coping efficacy, defined as the caregiver’s perceptions of how successful they were in modifying their relative’s behavior, and caregiver’s psychological distress as well as criticisms and positivity toward their relatives diagnosed with schizophrenia. We sampled 31 dyads of Mexican American caregivers and their relative with schizophrenia or schizoaffective disorder and used multiple methods of measurement including caregiver interviews, interactions between caregivers and their relatives, and clinician interviews with patients. Coping efficacy accounted for significant variance beyond patient symptoms and caregiver burden to: (a) caregiver psychological distress (β = −0.35, P < 0.05), and (b) caregiver positivity, that is, caregivers’ expressions of praise, approval or affection toward their ill relatives (β = 0.47 P < 0.01). Caregivers’ coping efficacy has heuristic value for research on the alleviation of caregiver psychological distress and the promotion of family caregiver behaviors associated with a benign course of illness.