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The Perceived Empathic Self-Efficacy Scale (PESE) and the Perceived Social Self-Efficacy Scale (PSSE) were developed to assess, respectively, individuals’ self-efficacy beliefs regarding both empathic responding to others’ needs or feelings and managing interpersonal relationships. In this study of young adults, a unidimensional factorial structure of both scales was found in Italy, the United States, and Bolivia. Complete invariance at the metric level and partial invariance at the scalar level were found across gender and countries for both scales. The construct and incremental validity of both PESE and PSSE were further examined in a different sample of Italian young adults. Patterns of association of the PESE or PSSE with self-esteem, psychological well-being, and the use of adaptive and maladaptive coping strategies were found, often over and beyond their associations with empathy or extraversion, respectively.