Self-efficacy forecasts student persistence and achievement in challenging subjects. Thus, it is important to understand factors that contribute to students' self-efficacy, a key factor in their success in math and science. The current cross-sectional study examined the contribution of students' gender and math and science anxiety as well as schools' use of Social and Emotional Learning (SEL) practices to students' math and science self-efficacy. Fifth graders (n = 1,561) completed questionnaires regarding their feelings about math and science. Approximately half of the students attended schools implementing the "Responsive Classroom"® ("RC") approach, an SEL intervention, as part of a randomized controlled trial. Results suggested no difference in math and science self-efficacy between boys and girls. Students who self-reported higher math and science anxiety also reported less self-efficacy toward these subjects. However, the negative association between students' anxiety and self-efficacy was attenuated in schools using more "RC" practices compared with those using fewer "RC" practices. "RC" practices were associated with higher science self-efficacy. Results highlight anxiety as contributing to poor self-efficacy in math and science and suggest that "RC" practices create classroom conditions in which students' anxiety is less strongly associated with negative beliefs about their ability to be successful in math and science.