The purpose of the study is to analyze the importance of individual resources in firefighting, one of the highest risk professions. Firefighters from 12 different Polish provinces (N = 580; men; M (mean age) = 35.26 year, SD = 6.74) were analyzed regarding the perceived stress at work, burnout, self-efficacy, and a broad range of sociodemographic variables. The Perceived Stress Scale (PSS), the Link Burnout Questionnaire (LBQ), and the General Self-Efficacy Scale (GSES) were used in the study. To explore the relationships between work-related stress, burnout, and self-efficacy, separate regression models for each burnout dimension were analyzed. The results revealed that self-efficacy is a significant moderator that changes the direction and strength of the relationships between perceived stress and psychophysical exhaustion, sense of professional inefficacy, and disillusion. However, self-efficacy did not moderate the relationship between stress and lack of engagement in relationships (relationship deterioration). The results indicate that self-efficacy in firefighters is a crucial personal resource that buffers the impact of perceived stress on most burnout symptoms. It may be concluded that in high risk professions, special attention should be paid to developing self-efficacy as an important part of burnout prevention programs, pro-health activities, and psychoeducation.