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The study aims to study paradoxical relations between two non-cognitive factors (i.e., self-concept and self-efficacy) and achievement in mathematics. The data from PISA 2012 was used, consisting of more than 500 000 students at age 15 from 65 education systems. The study first tested the measurement invariance of mathematics self-concept and self-efficacy constructs across these education systems and found that both constructs held metric invariance. Correlation analyses were thus performed at the student, school and country levels. The results indicate that a paradoxical relation exists between mathematics self-concept and achievement at the school level for a few countries, as well as at the country level. At all levels, mathematics self-efficacy is positively correlated with achievement.