Daily stressors, compared to traumatic events, are increasingly recognized as important risk factors for mental health. The role of general self-efficacy on the relationship between daily stress and aspects of mental health has not yet been examined. Taking into account the dual factor model of mental health, which postulates that mental health is more than the absence of psychopathological symptoms, we tested mediation effects of self-efficacy separately for positive and negative mental health. Total, direct and indirect effects were estimated using data from a large nationally representative German population sample (N = 1,031) by bootstrapped mediation analyses providing 95% bias corrected bootstrap confidence intervals. Results indicated self-efficacy as a mediator of the effects of daily stressors on mental health, with superior effect sizes for positive compared to negative mental health. Mediation effects were replicated in student samples from Germany (N = 394), Russia (N = 604) and China (N = 8,669). Findings suggest that self-efficacy operates as a buffer of daily stress. However, a full mediation model was not supported as multiple psychological resources can have protective effects. This study provides the first transnational evidence for different stress-buffer effects for the two dimensions of mental health.