Previous research has largely documented that socioeconomic status (SES) is a strong and consistent predictor of pupils' school performance in several countries. In this research, we argue that children internalize the SES achievement gap in the form of a lower/higher sense of school self-efficacy. In two studies, teenaged students' (Study 1) and children's (Study 2) self-efficacy was measured. Their parents' occupations as well as the students' anticipated grades (Study 1) and real grades (Study 2) in mathematics and French were recorded. The results indicated that SES affected both self-efficacy and school performances. Moreover, self-efficacy mediated the link between SES and mathematics performance. Thus, a seemingly psychological factor (i.e., self-efficacy) actually depends on social status and further contributes to explain low SES students' poor performance in school.