Frustration intolerance beliefs are central to the theory and practice of Rational Emotive Behavior Therapy. However, there has been little investigation of the content of these beliefs, and empirical evidence linking specific beliefs to distinct psychological problems is sparse. To redress this, the Frustration–Discomfort Scale has been developed as a multidimensional measure. This was used to explore the relationship between the four dimensions of frustration intolerance (emotional intolerance, demands for entitlement, comfort, and achievement) and problems of self-control. Results indicated that the Frustration–Discomfort sub-scales showed differential relationships with self-control problems, independent of self-worth beliefs. This supported the validity and usefulness of the scale and the importance of distinguishing between dimensions of frustration intolerance.