This study examined the relation between goal setting and self-efficacy and self-evaluation of interpersonal performance. Twelve dysphoric, 12 socially anxious, and 12 normal undergraduate women participated in videotaped interactions with normal female partners. Measures of goal setting and self-efficacy were obtained prior to the interactions and each member of the dyad evaluated her performance, as well as her partner's performance, immediately after the interaction. Objective observers also rated each partner's performance. The groups did not differ in personal goals or evaluations of their own performance. Observer ratings did not indicate differences in social competence among the three groups. When self-efficacy was considered, dysphoric and socially anxious subjects had larger discrepancies between their goals and efficacy ratings than normal subjects. Although dysphoric and socially anxious individuals did not set perfectionistic goals, they did set higher goals than they believed they could achieve.