The purpose of this enquiry was to examine how research design impacts on the predictive power of measures of self-efficacy. Three cautions for designing research into self-efficacy drawn from the seminal work of Albert Bandura (1986) and a further caution proposed by the current author together form the analytical framework for this enquiry. For illustrative purposes, the analytical framework was applied to one stage of the author's Mathematics for Initial Teacher Education Students (MITES) project, whose goal was to determine the effects on self-efficacy of an intervention that aimed to increase levels of mathematics competence among initial teacher education students. The findings of the present enquiry have implications for designing, reporting, and determining the credibility and contribution of research into self-efficacy and for making meaningful comparisons between studies, including those whose results differ from each other or from what might be expected.