Four socio-emotional New Zealand Curriculum key competencies (Managing Self, Participating and Contributing, Relating to Others and Thinking) were investigated in a two-part study. The first part used a questionnaire to quantitatively model the four key competencies in a sample of 995 secondary students. The second part examined whether the key competency models found in part 1 related to academic efficacy, school connectedness and academic achievement within a subsample of 297 secondary students. The models had acceptable statistical fit and were invariant. All models were related to academic efficacy and school connectedness, but none related directly to achievement. This is the first study to try to quantitatively model the New Zealand key competencies and demonstrate a direct relationship between the socio-emotional key competencies and academic efficacy and school connectedness.