Background: During the last decades, many studies have explored social support, pain self-efficacy, and health beliefs in older adults with musculoskeletal disorders. Aim: The purpose of the research is to investigate the beliefs of elderly people with musculoskeletal disorders regarding social support, self-efficacy in pain, and health locus of control. Methods: The research was carried out based on 3 questionnaires. The first questionnaire involved the Multidimensional Scale of Perceived Social Support, the second involved the Pain Self Efficacy Questionnaire, and the third included the Multidimensional Health Locus of Control (MHLC) scale. The research was conducted from April–June 2023 among 106 elderly people, of which 32 (30.2%) were men and 74 (69.8%) were women, members of long-term care services and others who visited the Open Care Center of Patras. Results: The mean age of the participants was 76.1 years and the majority were females, primary school graduates, and retired. Furthermore, most of them had moderate/mild manual labor, average financial status, and received medication for musculoskeletal problems. The results showed that there is a statistically significant positive correlation between pain self-efficacy and the support from the significant others (r = .370, p < .01), family support (r = .517, p < .01), overall social support (r = .435, p < .01), and financial status (r = .353, p < .01). Conclusion: The research showed that social support is positively related to pain self-efficacy in the elderly with musculoskeletal diseases.