This study investigated the effectiveness of adding four self-efficacy features to an online statistics lesson, based on Bandura's four sources of self-efficacy information. In a randomized between-subjects experiment, participants learned statistical rules in an example-based online environment with four self-efficacy features added (treatment group) or not (control group). Results of analyses of variance showed that the treatment group performed better on practice (d = 0.36), retention (d = 0.39), and transfer (d = 0.42) tests as well as reporting higher self-efficacy (d = 0.44) and lower task anxiety (d = -0.45). Further, mediation analyses revealed that the effect of treatment group on performance was fully mediated by task anxiety and self-efficacy. The results support the inclusion of self-efficacy features in online mathematics lessons, when the goal is to improve learning outcomes by reducing anxiety and increasing self-efficacy. The results show the utility of applying Bandura's model of self-efficacy to technology-based learning environments.