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Self-efficacy refers to the confidence an individual has in his or her ability to successfully perform a specific task (Bandura, 1986). Previous researchers have demonstrated the importance of self-efficacy beliefs and its impact on predicting students’ mathematics performances. In addition, gender has been regarded as an important moderator variable in the prediction of achievement from psychological variables. Thus, data from the High School Longitudinal Study 2009 were used in this study by applying a multi-group analysis under the structural equation modeling framework to examine gender differences in the causal relationship between mathematics self-efficacy and mathematics achievement. The primary finding showed statistically significant differences between male students and female students in the causal effect between mathematics self-efficacy and mathematics achievement.