In this study, we tested the hypothesis that self-efficacy and self-concept reflect different underlying processes and both are critical to understanding long-term achievement outcomes. Although both types of self-belief are well established in educational psychology, research comparing and contrasting their relationship with achievement has been surprisingly sparse. This is particularly the case when considering critical developmental periods and high-stakes achievement outcomes. In the current research, we use the longitudinal study of Australian youth which uses the 2003 Australian Programme of International Student Assessment cohort (N?=?10,370; M [age]?=?15) as the first time wave and follows participants over eight years. Using latent path modelling and controlling for a wide range of background covariates, we found: (a) strong relations between achievement, self-efficacy and self-concept in mathematics at age 15; (b) both self-concept and self-efficacy were independent and similarly strong predictors of tertiary entrance ranks at the end of high school; (c) math self-efficacy was a significant predictor of university entry but math self-concept was not; and (d) math self-concept was a significant predictor of undertaking post-school studies in science, technology, engineering or math, but math self-efficacy was not.