Cancer survivors have experienced high stress which impairs psychological functioning and decreases quality of life (QOL). This study aims to assess the mediating effect of self‐efficacy on mood disturbance and QOL, and determine the effectiveness of a 12 week rehabilitation programme to improve self‐efficacy as well as improve mood disturbance and QOL in Chinese cancer survivors. A total of 47 cancer patients were randomly assigned into the experimental (n = 24) and control (n = 23) groups. The participants in the experimental group received cancer‐related education, progressive muscle relaxation and emotional support. Self‐reported questionnaires, including General Self‐efficacy Scale (GSES), Profile of Mood States Scale–Short Form (POMS‐SF) and European Organization for Research and Treatment of Cancer Quality of Life Questionnaire Core 30 (EORTC QLQ‐C30) were collected in pre‐ and post‐intervention. Findings from this study indicated that self‐efficacy was a complete mediator between mood disturbance and QOL, and the 12 week rehabilitation programme had a positive effect on self‐efficacy, mood disturbance and QOL for Chinese cancer survivors.