Biofeedback training and game-based biofeedback are increasingly used to improve mental health. When evaluating the effects of biofeedback however, the focus often lies solely on therapeutic outcomes. Meanwhile, it is known that psychological factors such as perceptions of competence, also known as selfefficacy, can significantly influence one's experience and psychological wellbeing. The current paper examined the role of self-efficacy in the context of biofeedback video games. A pilot study was conducted with DEEP, a Virtual Reality video game that uses respiratory-based biofeedback to help individuals cope with stress and anxiety. Self-efficacy was found to be a significant predictor of physiological regulation, highlighting the importance of taking psychological factors such as self-efficacy into account in the development and evaluation of biofeedback games designed to improve mental wellbeing.