Self-efficacy beliefs are associated with less physical impairment and pain intensity in people with chronic pain. Interventions that build self-efficacy beliefs may foster behavioral changes among this population. A non-randomized trial has been carried out to evaluate the effectiveness of pain neuroscience education (PNE) plus usual care in modifying self-efficacy beliefs, pain intensity, pain interference and analgesics consumption in people with chronic musculoskeletal pain. Participants were allocated to an experimental (PNE plus usual care, n = 49) and a control (usual care alone, n = 51) group. The primary outcome was self-efficacy beliefs (Chronic Pain Self-Efficacy Scale), and the secondary outcomes were pain intensity, pain interference (Graded Chronic Pain Scale) and analgesics consumption. The participant’s pain knowledge (revised Neurophysiology of Pain Questionnaire) after PNE intervention was also assessed to analyze its influence on every outcome measure. All the outcome measures were assessed at the baseline and at four-week and four-month follow-ups. PNE plus usual care was more effective than usual care alone to increase self-efficacy beliefs and decrease pain intensity and pain interference at all follow-up points. No differences between groups were found in terms of analgesics consumption. Knowledge of pain neurophysiology did not modify the effects of PNE plus usual care in any of the outcome measures. These results should be taken with caution because of the non-randomized nature of this design, the limited follow-ups and the uncertainty of the presence of clinical changes in self-efficacy for participants. Larger, methodological sound trials are needed.