The purpose of this study was to assess the relative effects of coping self-efficacy and catastrophizing on physical functioning. Over a 9-month period, studying changes in self-efficacy as possible mediator between catastrophizing changes and physical functioning changes might provide evidence for the most promising treatment target. Data came from a randomized, longitudinal controlled trial comparing exercise, self-management and the two combined to treat 254 individuals with early knee osteoarthritis. A secondary analysis using a bootstrapped linear mixed-effects mediational model produced estimates of both the direct and indirect effects. Results indicated that self-efficacy partially mediated the effect between catastrophizing and physical functioning suggesting that self-efficacy was the more direct treatment target compared to catastrophizing. Treatments targeting both self-efficacy and catastrophizing may have greater impact on physical functioning compared to treatments that focus on only one.