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Objective: The purpose of this study was to examine the within-day and cross-day prospective effects of knee osteoarthritis (OA) patients’ self-efficacy to engage in physical activity despite the pain on their subsequent physical activity assessed objectively in their natural environment. Method: Over 22 days, 135 older adults with knee OA reported their morning self-efficacy for being physically active throughout the day using a handheld computer and wore an accelerometer to measure moderate activity and steps. Results: Morning self-efficacy had a significant positive effect on steps and moderate-intensity activity throughout that day, above and beyond the effects of demographic background and other psychosocial factors as well as spouses’ support and social control. The lagged effect of morning self-efficacy on the next day’s physical activity and the reciprocal lagged effect of physical activity on the next day’s self-efficacy were not significant. Positive between-person effects of self-efficacy on physical activity were found. Conclusions: Future research should aim to better understand the mechanisms underlying fluctuations in patients’ daily self-efficacy, and target patients’ daily self-efficacy as a modifiable psychological mechanism for promoting physical activity.