Strain theories expect socio-economically disadvantaged students to be overrepresented among perpetrators of school-deviant behavior. Empirical research, however, is inconclusive about the SES-deviance relationship. Recently, strain theorists argued that economic deprivation, rather than a socio-economic status (SES) index is related to delinquency. This study is unique in investigating these claims in an educational context. Specifically, we investigate the association between SES and economic deprivation, and school misconduct. We also aim to shed light on why and under which conditions SES and deprivation are associated with misconduct. Starting from strain theory and social cognitive theory, we hypothesize academic self-efficacy to mediate and/or to moderate discovered associations. Following previous findings that socioeconomic status effects on deviance differ across national contexts, we apply a cross-national design, investigating the hypotheses in four European cities, namely Barcelona (Spain), Bergen (Norway), Ghent (Belgium), and Wroclaw (Poland). Analyses on data of 9174 students across 111 schools (2013-2014) confirmed that deprivation is more important for rule-breaking than SES, but self-efficacy did not mediate, nor moderate deprivation effects. Importantly, self-efficacy did moderate SES effects. Students from lower SES-families are prone to be deviant at school, but this association may be buffered by increasing students' academic self-efficacy. Implications for theory and practice are discussed.