Prior research has suggested a strong link between student-level psychological constructs such as self-efficacy and achievement in academics. In this study, we looked at the relationship between math self-efficacy and mathematics literacy using a large-scale survey from Greece. Our analytical results show that there is a strong association between math self-efficacy and math literacy among Greek high school students, and that this association persists even after controlling for student-level differences such as age, grade, gender, parental education, parental occupation, family wealth, cultural possessions, and availability of educational resources at home, and school-level differences such as school type, school size, student--teacher ratio, and school-level socioeconomic status.