Purpose Work absence can result in substantial losses to the economy and workers. As a result, identifying modifiable factors associated with return-to-work (RTW) following an injury or illness is the focus of many empirical investigations. Self-efficacy, the belief about one’s ability to undertake behaviours to achieve desired goals, has been identified as an important factor in RTW for injured workers. This paper systematically reviewed the literature on the association between self-efficacy and RTW outcomes for workers with an upper-body musculoskeletal injury or psychological injury. Methods A systematic search was conducted across five databases using two main search concepts- ‘self-efficacy’ and ‘RTW’. After removing duplicates, our search strategy identified 836 studies, which were screened for relevance using titles and abstracts. Results A two stage screening process reduced the study pool to six studies using psychological injury cohorts and three using upper-body musculoskeletal (UB-MSK) cohorts. Eight cohorts from seven prospective cohort studies and one sample from a randomised control trial (RCT) were subjected to a risk of bias assessment. Higher levels of self-efficacy appeared to have a consistent and positive association with RTW across return-to-work status and work absence outcomes, injury type and follow-up periods. Effect ratios ranged from 1.00 to 5.26 indicating a potentially large impact of self-efficacy on RTW outcomes. The relationship between self-efficacy and RTW strengthened as the domain of self-efficacy became more specific to RTW and job behaviours. Studies assessing workers with psychological injuries were of a lower quality compared to those assessing workers with UB-MSK injuries. Conclusions Higher self-efficacy had consistent positive associations with RTW outcomes. Further empirical research should identify the determinants of self-efficacy, and explore the processes by which higher self-efficacy improves RTW outcomes.