This prospective study examines the cognitive and behavioural mediators of the relation between personal control and the initial response to a breast cancer diagnosis as well as subsequent psychological adjustment. A total of 143 patients participated immediately after diagnosis (T1), after surgery (T2) and 2 months after the end of treatment (T3), of whom 92 also completed a questionnaire pre-diagnosis (T0). The buffering effect of personal control on psychological distress shortly after diagnosis was mediated by cancer-specific cognitions, i.e. threat appraisal and coping self-efficacy. Moreover, a strong sense of personal control predicted lower levels of anxiety 2 months after the end of treatment, but was unrelated to distress at T3. The adaptive effect on anxiety was mediated by threat appraisal and active engagement in social life after surgery, but not by active patient participation or coping self-efficacy. These results confirm and explain the adaptive effect of control. Apparently, women with a low sense of control appraise cancer and their personal coping skills more negatively, which makes them vulnerable to distress in response to diagnosis. Furthermore, women with a strong sense of control might regulate anxiety by remaining engaged in social life.