This research reports on two field studies which demonstrate that self-leadership training decreases strain via increases in self-efficacy and positive affect. The first, an experimental study, found that strain was reduced in the randomly assigned training group, but not in the control group. The second was a longitudinal study and supported the hypotheses that self-efficacy and positive affect mediated the effect of self-leadership training on strain. Our findings extend both self-leadership and stress management literatures by providing a theoretical framework within which the effects of self-leadership on strain can be understood. Practically speaking, our findings suggest that self-leadership training offers an individual-level preventive approach to stress management.