The impact that COVID-19 had on individuals globally has been immense. Our study aims to determine if the various COVID-19 related beliefs (information seeking; invulnerability; disruption; health importance and response effectiveness) are predictors of perceived stress and if self-efficacy acts as a mediator in reducing perceived COVID-19 related stress. From a large sample of 23,629, data were assessed using validated multi-item measures for seven COVID-19 related beliefs, self-efficacy and perceived stress. After conducting a series of tests and checks via Confirmatory Factor Analyses, linear modelling and mediation analyses with bootstrapping were applied to test direct and mediation hypotheses. It is found that stress perception is most strongly affected by self-efficacy and perceived disruption. Except for information seeking, which positively affected perceived stress, self-efficacy partially mediates all other COVID-19 related beliefs (perceptions of disruption, health importance and response effectiveness) in conjunction with their direct effects. Only perceived invulnerability elicited opposite effects on stress, increasing stress directly but decreasing stress indirectly by increasing self-efficacy. This finding gives reason to believe that individuals may disclose that they are less vulnerable to COVID-19, fostering their self-efficacy, but still accept that stressing factors such as economic and social consequences apply. Overall, reinforcing self-efficacy was carved out as the most important resilience factor against perceiving high levels of stress. On this basis, implications for research and practice are provided.