This study investigated the relationship between self-efficacy, self-esteem, and subjective happiness. The study group is composed by 556 (291 female; 265 male) students who were studying at the pedagogical formation program at Mugla Sitki Kocman University. The data were collected by using the General Self-Efficacy Scale-Turkish Form, Self-Confidence Scale, and Subjective Happiness Scale. Pearson product-moment correlation analysis was employed to study the relationship between self-efficacy, self-esteem, and subjective happiness; structural equation modeling was also used for explaining subjective happiness. Initiation, effort, and persistence subdimensions of self-efficacy and internal self-confidence and external self-confidence subdimensions of self-esteem were found to be significantly correlated to subjective happiness. A significant impact of initiation, effort, and persistence subdimensions of self-efficacy and internal self-confidence and external self-confidence subdimensions of self-esteem on subjective happiness was detected. The theoretical implications of the link between self-efficacy, self-esteem, and subjective happiness were discussed.