In the present article, the authors analyze how performance expectancies are generated and how they affect actual performance. The authors predicted that task difficulty would affect performance expectancies only when cognitive motivation (i.e., need for cognition [NFC]) and cognitive capacity are high. This should be the case because analyzing task difficulty is a process requiring cognitive capacity as well as cognitive motivation. The findings supported the expected NFC x Difficulty interaction for the formation of performance expectancies (Study 1, Study 2), but only when cognitive capacity was high (Study 2). The authors also predicted that expectancies would affect actual performance only if the task is difficult and if task difficulty is taken into account when the expectancy is generated. This hypothesis was supported: Significant relations between performance expectancies and actual performance were found only for difficult tasks and for participants higher in NFC. Studies 5 and 6 showed clear evidence that the NFC x Difficulty interaction could not be explained by differences in the use of task-specific self-concepts. The findings were robust across academic, social, and physical tasks.