© 2016, Swiss School of Public Health (SSPH+).Objectives: Emotional symptoms are widespread among adolescents with the highest prevalence among lower socioeconomic groups. Less is known about why and how to reduce this inequality but personal control, e.g., self-efficacy may be crucial. This study examines whether self-efficacy is a mediator in the association between occupational social class (OSC) and emotional symptoms. Methods: Data stem from the cross-sectional Health Behavior in School-aged Children-Methodology Development Survey 2012 (HBSC-MDS) conducted among 11–15-year old schoolchildren in two Danish municipalities. Participation rate was 76.8 % of 5165 enrolled schoolchildren, n = 3969. Results: Low OSC is associated with higher odds of daily emotional symptoms and low selfefficacy. Schoolchildren with low self-efficacy have higher odds for daily emotional symptoms. We find a strong and statistically significant direct effect between low OSC and daily emotional symptoms (OR = 1.55, 95 % CI: 1.33; 1.84) and a borderline statistically significant indirect effect of self-efficacy [OR = 1.17 (0.99; 1.38)]. Conclusions: Socioeconomic inequality in emotional symptoms exists. This inequality is partly explained by socioeconomic inequality in self-efficacy. Promotion of personal competences like self-efficacy may reduce emotional symptoms among all socioeconomic groups, thereby reducing socioeconomic inequalities in emotional symptoms.