Many students across the United States enter college with aspirations of becoming a successful career scientist within the fields of science, technology, engineering, and mathematics (STEM). However, the number of bachelor's degrees awarded in physics has significantly lagged behind the number of bachelor's degrees awarded in the other STEM disciplines. Of the physics bachelor's degrees awarded nationally in 2014, only 20% were conferred to women. As a part of the conversation on recruitment, retention, and diversity in physics, researchers have focused on students' self-efficacy (SE), or one's personal beliefs in their capabilities to execute a specific task. Self-efficacy is highly correlated with performance and success, career aspirations, and student persistence, particularly in physics. In addition, many studies have shown that men and women evaluate their science SE differently with women, on average, reporting a lower SE toward science. This article will provide a robust literature review about the research reporting on the gender differences in science SE, specifically within the physics discipline. We will highlight common resources educators can use to measure students' SE in their own physics classrooms, the standard findings that SE decreases in introductory physics courses but not in other science courses, and within physics the decreases tend to be larger for female students.