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.