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Background: Dengue fever is endemic in Malaysia, with frequent major outbreaks in urban areas. The major control strategy relies on health promotional campaigns aimed at encouraging people to reduce mosquito breeding sites close to people's homes. However, such campaigns have not always been 100% effective. The concept of self-efficacy is an area of increasing research interest in understanding how health promotion can be most effective. This paper reports on a study of the impact of self-efficacy on dengue knowledge and dengue preventive behaviour. Methods and Findings: We recruited 280 adults from 27 post-outbreak villages in the state of Terengganu, east coast of Malaysia. Measures of health promotion and educational intervention activities and types of communication during outbreak, level of dengue knowledge, level and strength of self-efficacy and dengue preventive behaviour were obtained via face-to-face interviews and questionnaires. A structural equation model was tested and fitted the data well (χ2 = 71.659, df = 40, p = 0.002, RMSEA = 0.053, CFI = 0.973, TLI = 0.963). Mass media, local contact and direct information-giving sessions significantly predicted level of knowledge of dengue. Level and strength of self-efficacy fully mediated the relationship between knowledge of dengue and dengue preventive behaviours. Strength of self-efficacy acted as partial mediator in the relationship between knowledge of dengue and dengue preventive behaviours. Conclusions: To control and prevent dengue outbreaks by behavioural measures, health promotion and educational interventions during outbreaks should now focus on those approaches that are most likely to increase the level and strength of self-efficacy. Author Summary: Dengue fever is one of the most rapidly increasing vector-borne diseases of humans in the tropics. There is currently no treatment and no vaccine, so control of the disease depends on controlling the mosquito vector. Unfortunately health promotional campaigns aimed at encouraging people to reduce mosquito breeding sites have not always been 100% effective. Self-efficacy is an area of increasing research interest and can be thought of as people's confidence in their ability to engage in health behaviours. We report a study of the impact of self-efficacy on dengue preventive behaviour. We conducted face to face interviews in villages in the state of Terengganu, Malaysia that had been affected by dengue outbreaks. A structural equation model was tested and fitted the data well. Mass media, local contact and direct information-giving sessions significantly predicted level of knowledge of dengue. However, self-efficacy fully mediated the relationship between knowledge of dengue and engagement in dengue preventive behaviours. We conclude that educational components of community dengue control programmes should focus on interventions. [ABSTRACT FROM AUTHOR]