Self-efficacy or perceived ability refers to the confidence an individual has in their ability to successfully perform a specific task. Previous researchers have demonstrated the importance of self-efficacy beliefs and its impact on predicting students' mathematics performances. Specifically, gender has been regarded as an important moderator variable in the prediction of achievement from measures of affect. To this end, using data from High School Longitudinal Study of 2009, this study utilized the multi-group analysis under the framework of structural equation modeling to examine gender differences in the reciprocal relationship between mathematics self-efficacy and mathematics achievement. The results showed that there were statistically significant differences between male students and female students in the reciprocal relationship between mathematics self-efficacy and mathematics achievement; the impact of prior mathematics achievement on later mathematics achievement was stronger than the impact of prior mathematics self-efficacy on later mathematics self-efficacy. Significance of these findings were discussed in this paper.