Alan Weiss puts forward an interesting idea in a short blog post "Self-Esteem and Control" --
"I’ve found that self-esteem is about control—control of your own life. And that control is based on your ability to organize your life. That means not being subject to others’ objectives in place of your own; being able to access what you need when you need it; having discretionary time; and being able to focus on your real priorities."
It seems to make some sense. I rarely people who feel fully in control of their lives, time, resources, emotion, thinking, social lives, etc, who are unhappy.
Does that translate into self-esteem, though? Happiness, yes. But self-esteem seems to rest on more than that. I know people who are exceptional at what they do, are in full control of their lives, but who consistently underestimate themselves.
Still, feeling and being out of control can't be good for self-esteem, and it's definitely a good thing to improve. My guess is that feeling in control of your life is necessary but not sufficient for the highest levels of self-esteem and self-efficacy.