This study aims to analyze the student and school level variables that affect students' self-efficacy levels in mathematics in China-Shanghai, Turkey, and Greece based on PISA 2012 results. In line with this purpose, the hierarchical linear regression model (HLM) was employed. The interschool variability is estimated at approximately 17% in China-Shanghai, approximately 22% in Turkey, and approximately 23% in Greece. This study showed a positive association between variables of "self-confidence," "teacher support," and "attitude toward school," all of which are among Level 1 variables, and mathematics self-efficacy in all three countries. A negative association was observed to exist between the variables "socio-cultural index" and "educational opportunities at home" and mathematics self-efficacy in all three countries. While "pre-school education" in China-Shanghai and Turkey were negatively associated with students' mathematics self-efficacy levels, the same variable was positively associated with students' mathematics self-efficacy in Greece. While the variable "mathematical anxiety" was negatively associated with students' mathematics self-efficacy in China-Shanghai and Greece, it was positively associated with students' mathematics self-efficacy in Turkey. The variable "interest in mathematics," in turn, was negatively associated with mathematics self-efficacy solely in China-Shanghai. Regarding the association between mathematics self-efficacy levels and the school level variables, a near-zero positive association was found between "class size," deemed significant for Turkey, and self-efficacy levels. The association between "teacher to student ratio in school" and self-efficacy levels was found to be negative in all three countries. The variable "teacher's morale," however, was positively associated with self-efficacy level in China-Shanghai and Turkey.