Counsellors need to be able to understand students' social self-efficacy, in order to provide them appropriate counselling services. This study investigated social gender self-efficacy differences, and depression, anxiety and stress, and examined the relationship of social self-efficacy to depression, anxiety and stress among a sample of 573 students (51.3% female, 48.7% male). Data were collected using two scales: (1) social self-efficacy scale (Al-Sooud, 2014); (2) DASS-21 scale (Lovibond & Lovibond, 1995). The results showed for respondents on the medium level of social self-efficacy, and the level is high in the DSAA-21 scale dimensions, and differences between gender in social self-efficacy in favour of males, and the differences between the gender in both depression and anxiety, stress in favour of females. The results also showed a negative relationship statistically significant between social self-efficacy and all of depression and anxiety, stress and female relationship is stronger than males. This implies that prevention and intervention programs should be designed to enable university students to set realistically high standards.