Previous research on female caregivers of elderly relatives with dementia has demonstrated that caregiving self-efficacy (SE) is associated with reduced cumulative health risk. The overarching aim of the current study was to expand on that research by exploring whether depressive symptoms mediate the relationship between 3 domains of caregiving SE and cumulative health risk associated with health behavior patterns. Data from 256 female family caregivers of patients with dementia are presented. Path analysis revealed a significant mediated effect for depressive symptoms as both SE for obtaining respite and SE for controlling upsetting Thoughts had a significant, indirect effect on cumulative health risk. There were no direct effects between caregiver SE and cumulative health risk. The current study sheds light on the complex pathway between caregiver SE and health and speaks to the importance of skills-based interventions designed to enhance efficacy beliefs and minimize depression in dementia caregivers.