In the workplace, employees are often driven to think about how they could have behaved differently to have obtained better performance. The functional theory of counterfactual thinking (FTCT) suggests that this type of thinking (i.e., counterfactual thinking or CT) can be functional and help enhance individuals’ sense of efficacy. In the context of work settings, CT may contribute to employees’ job self-efficacy, which in turn positively impacts their job performance. However, another line of research demonstrates that counterfactual thoughts, which are referenced to one’s past behaviors and better outcomes, can make individuals distressed and experience depression, the states that function as negative information for individuals’ self-efficacy evaluation. Thus, whether and how CT would impact employees’ job self-efficacy and job performance remains ambiguous. We address this ambiguity by considering the moderating role of employees’ past focus in the relationship between CT and employees’ job self-efficacy. Utilizing the sample of 209 independent employee-supervisor dyads in the military units, we demonstrate that CT is negatively associated with job self-efficacy when past focus is higher but positively related to it when past focus is lower. We also show that this moderating effect is transmitted to job performance. Overall, our research showcases the importance of considering the performance implications of CT in work settings.