This study examined the direct association between parental educational expectations and adolescents' academic self-efficacy, as well as the moderating influence of parental academic socialization messages. Participants were 148 Latino parent--adolescent dyads with the majority of Mexican origin (80.4%). Most of the parent participants were mothers (85.8%). Adolescents were 13 (46%) or 14 (54%) years of age, and 53% identified as female. Adolescents reported their academic self-efficacy and perceptions of their parents' educational expectations; parents reported on their academic socialization messages of shame/pressure and effort regarding academics. The results suggest that, after accounting for parents' level of education and immigrant status, parental educational expectations were positively associated with adolescent academic self-efficacy. This association was stronger among adolescents whose parents reported transmitting fewer messages of shame/pressure and academic effort. These results point to the importance of nuances in the content and type of academic socialization messages within Latino families.