Pregnancy loss is a difficult situation that can affect a woman’s physical and psychological health, and thus requires appropriate management and support. An individual’s sense of self-efficacy is an important factor in the process of coping with a problem. Therefore, an analysis of self-efficacy in women after spontaneous pregnancy loss is warranted, so as to establish its association with social support, socio-demographic variables, quality of care, and specific behaviors of the medical staff. The cross-sectional study was performed in a group of 610 patients hospitalized due to spontaneous pregnancy loss in hospitals in Lublin (Poland). The study used a diagnostic survey with questionnaires: Generalized Self-Efficacy Scale (GSES), the Berlin Social Support Scales (BSSS), and a standardized interview questionnaire. Post-pregnancy loss patients rated partner support highest (M = 9.25), while the best-rated category of social support was perceived available instrumental support (M = 3.78). In relation to medical personnel, the quality of care provided by midwives was rated the highest (M = 4.57). The study demonstrated a statistically significant (p< 0.05) association between the selected socio-demographic factors and the specific types and sources of support on the one hand, and generalized self-efficacy on the other, in the patients after pregnancy loss who were studied. Socio-demographic factors that affected self-efficacy in the respondents included their relationship status and socio-economic standing. Self-efficacy is positively correlated with social support in women after pregnancy loss.