In the face of increasing unemployment partly due to decreasing employability skills of Nigeria polytechnic students, many graduates of Nigeria polytechnic have a dwindle self-efficacy. 420 HND 2 polytechnic engineering students in north central states of Nigeria were surveyed. Data were collected using questionnaire consisting of 4 Likert-type statements. Student's self-efficacy was measured by asking students to rate themselves from 1 ("No confidence") to 4 ("Complete confidence"). The self-efficacy of engineering students in Nigeria polytechnic were examined using mean and standard deviation. The mean score for Self-appraisal, Occupational Information, Goal selection, Planning and Problem solving are as follow (3.32), (2.97), (3.28), (3.082) and (3.012) respectively with self-appraisal scoring higher than the others. These findings enhance our understanding of the importance of self-efficacy in the development of employability skills of polytechnic engineering students in Nigeria, more importantly self-appraisal had the highest mean score. The practical implication is that the teaching style will have to shift from being teacher-centred learning to student-centred learning in order to address and accommodate the need of student's self-efficacy.