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Measurement invariance of the Mathematics Self-Efficacy between American and Chinese students was tested using confirmatory factor analysis in a series of sequentially more restrictive models. There are adequate fits in configural invariance, metric invariance, and scalar invariance across gender group which indicate that American and Chinese students perceive the construct of mathematical capabilities in the same manner. Additionally, the present study demonstrated that Mathematics Self-Efficacy was comparable between America and China. Therefore, the Mathematics Self-Efficacy in PISA2012 is measuring the same trait across gender and cultural groups. This study provides further evidence that comparisons and analyses of those scores yield meaningful interpretations between males and females, as well as between America and China.