This mixed methods research study focuses on two relevant factors in students' decisions to pursue and complete an engineering major: mathematics preparation and mathematics self-efficacy. This study describes the relationship of mathematics self-efficacy on engineering students' performance, behavior, and attitudes in their first college mathematics courses. Participants completed a mathematics self-efficacy survey (n = 408); 11 were selected to be interviewed. A grounded theory approach was used to examine participants' behaviors and attitudes in college mathematics courses, their mathematics self-efficacy beliefs, and how these beliefs aligned with their mathematics competence. Interview participants reported relatively high mathematics self-efficacy, but many revealed a mismatch between their mathematics self-efficacy beliefs and mathematics competence levels. Participants who had a balance between these two factors reported being more likely to spend extra time working to overcome their mathematics deficiencies and seeking extra help. However, participants with a mismatch reported being more likely to procrastinate and put little effort into improving their mathematics competence, blaming external factors for their struggles. Despite showing different behaviors and attitudes, all participants reported being likely to continue taking mathematics courses required for their major even after failing their first college mathematics course.