The current study is a quantitative research that aims to investigate the university students' self-efficacy levels and their relation to their anxiety within an EFL context. To do this, a quantitative research was conducted to scrutinize the self-efficacy and anxiety levels of students at a state university. The participants of the study were 150 first year students of the English Language Teaching Department. The gender of the students in addition to their parents' educational background were also incorporated into the study to detect the impact of students' individual and demographic differences on their levels of self-efficacy and anxiety. The results revealed a significant relationship between students' levels of self-efficacy and anxiety while indicating that the demographic differences may have a role in dealing with anxiety.