Self-efficacy, or the belief in one's ability to accomplish a task or achieve a goal, can significantly influence the effectiveness of various instructional methods to induce learning gains. The importance of self-efficacy is particularly pronounced in complex subjects like Computer Science, where students with high self-efficacy are more likely to feel confident in their ability to learn and succeed. Conversely, those with low self-efficacy may become discouraged and consider abandoning the field. The work presented here examines the relationship between self-efficacy and students learning computer programming concepts. For this purpose, we conducted a randomized control trial experiment with university-level students who were randomly assigned into two groups: a control group where participants read Java programs accompanied by explanatory texts (a passive strategy) and an experimental group where participants self-explain while interacting through dialogue with an intelligent tutoring system (an interactive strategy). We report here the findings of this experiment with a focus on self-efficacy, its relation to students' learning gains (to evaluate the effectiveness, we measure pre/post-test), and other important factors such as prior knowledge or experimental condition/instructional strategies as well as interaction effects. [This paper was published in: "Proceedings of the 7th Educational Data Mining in Computer Science Education (CSEDM) Workshop, In conjunction with The 13th International Conference on Learning Analytics Knowledge (LAK23)," 2023.]