The purpose of this study was to examine if there was a difference in the level of self‐efficacy between men and women with relapsing‐remitting multiple sclerosis (RRMS) and progressive forms of multiple sclerosis (MS). A quantitative, descriptive, comparative design was used. The convenience sample included 556 individuals with MS, of which 124 were men (73 RRMS and 51 progressive MS) and 432 women (348 RRMS and 84 progressive MS). Participants completed the Multiple Sclerosis Self‐Efficacy Scale (MSSE). This study found gender differences in self‐efficacy among those living with MS. The women had a significantly greater belief in their ability to function with MS. The women also had a greater belief in their ability to control their MS than the men, although the difference was not significant. This study also found significant differences in self‐efficacy between those with RRMS and those with progressive forms of MS. When men were compared by type of MS, those with RRMS had significantly greater belief in their ability to control their disease and function with it than those with progressive forms of MS. For women, those with RRMS had significantly greater belief in their ability to control their MS and function with it than women with progressive forms of MS. Individuals with MS could benefit from strategies that enhance self‐efficacy. Such strategies include providing skills for selfmanagement of MS, providing education and support of the patient and family, introducing the patient to a role model with MS, encouraging physical reconditioning, and referring to a support group that will meet individualized needs.