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This study intends to capture the status of math self-efficacy and its influencing factors among students in the U.S. and China. Hierarchical linear regression analysis was utilized to examine the PISA 2012 database to address the research questions. The findings suggested on average, students in schools of Shanghai, China had higher math self-efficacy, higher math achievement but lower average student socioeconomic status (SES) than in schools of the U.S. But the similar positive relationship between math teacher support, student SES and math self-efficacy was found in both locations. In addition, the interaction between school mean SES and location on math self-efficacy indicated that the U.S. was more equitable between schools.