STEM students often struggle in their first-year fundamental courses. Negative psychological states after the first exam in those courses can serve as either a source of demotivation or motivation throughout the semester. We examined how self-efficacy altered the effect of regret about their first exam on course performance. Using a longitudinal study of students enrolled in early courses that engineering majors take in their first semester, we measured cognitive and affective regret about their first exam, both right after that first exam and a month later, and self-efficacy before the first exam. We found that regret right after the exam did not predict course grade. However, affective regret a month later reduced course grade, controlling for first exam grade. In addition, self-efficacy buffered that effect; students with high self-efficacy did not have their course grade affected by regret whereas those with low self-efficacy showed declines in their course grade due to regret.