Objective. Anxiety and depressive symptoms are assumed to relate to parenting self-efficacy in the context of changes and adaptations taking place in the transition to parenthood. The aim of this study was to elucidate the direction of effects. Design. Participants were 822 first-time expectant women who filled out questionnaires on depressive and anxiety symptoms and parenting self-efficacy at 32 weeks of pregnancy and at 3 and 12 months postpartum. Results. From 32 weeks of pregnancy to 3 months postpartum, parenting self-efficacy increased, whereas anxiety and depressive symptoms decreased. Multivariate response models showed that higher prenatal parenting self-efficacy was associated with more decreases in anxiety and depressive symptoms; lower prenatal mood symptoms were associated with more increases in parenting self-efficacy to 3 months postpartum. Higher postpartum parenting self-efficacy at 3 months predicted less increase in trait anxiety from 3 to 12 months postpartum. Conclusions. Parenting self-efficacy appears to be a result of mental health and a predictor for the course of mental health in first-time mothers. These results highlight the importance of focusing on both factors for intervention and prevention efforts.