Background: Medical students experience emotional challenges during their undergraduate education, often related to work-based learning. Consequently, they may experience feelings of uncertainty and self-doubt, which can negatively affect their well-being. Therefore, it is crucial to support students’ development of their ability to manage distressful situations. Self-efficacy beliefs may be a central aspect of supporting them in this development, and have been shown to relate to resilient factors such as students’ motivation, learning, and well-being. Methods: We constructed a scale to measure medical students’ physician self-efficacy to manage emotional challenges during work-based learning, the PSMEC scale. The aim of the present study was to evaluate some of the psychometric properties of the PSMEC scale. The scale consists of 17 items covering five subscales: (1) medical knowledge and competence, (2) communication with difficult patients and delivering bad news, (3) being questioned and challenged, (4) educative competence in patient encounters, and (5) ability to establish and maintain relationships with healthcare professionals. Data were collected from 655 medical students from all seven medical schools in Sweden. To investigate the scale’s dimensionality and measurement invariance with regard to gender and time in education, single and multiple group confirmatory factor models were estimated using techniques suitable for ordered categorical data. Measures of Cronbach’s alpha were calculated to evaluate internal consistency. Results: The scale showed good internal consistency on both the global dimension and the five subdimensions of self-efficacy. In addition, the scale was shown to be measurement invariant across genders and times in education, indicating that the scale means of male and female medical students and the scale means of students at the middle and end of their education can be compared. Conclusions: The physician self-efficacy to manage emotional challenges scale demonstrated satisfactory psychometric properties, with regards to dimensionality, internal consistency, and measurement invariance relating to gender and time in education, and this study supports the usefulness of this scale when measuring self-efficacy in relation to emotional challenges.