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The purpose of this study was to explore the effects of 10th grade students’ math self-efficacy on their math achievement by using the Education Longitudinal Study of 2002 (ELS: 2002). It also examined how such effects differed by gender, schools’ urbanicity and percentage of free lunch eligible students. Three different hierarchical linear models were run to explore within- and between-level effects and variances. Results showed that there were effects of students’ math self-efficacy and interaction effects of gender and students’ self-efficacy on math achievement. The cross-level interaction effect of schools’ percentage of free lunch eligible students was also found. The choice of centering and missing data treatment were briefly addressed and were followed by limitations and discussion.