The persistent gender gap in science, technology, engineering, and mathematics (STEM) is often attributed to differences in students' confidence in their own academic abilities (i.e. self-efficacy). Yet, the role of self-efficacy in mediating gender differences in STEM attrition is unclear. To address this issue, we analyse administrative register data and representative survey responses from two cohorts of students (N = 14,427) who entered higher education programmes in 2017 and 2019. In linear models that adjust for high-school performance, parents' education level and other relevant background variables, we find that women have lower average self-efficacy levels than men before entering higher education. This gender gap is not specific to STEM fields but also exists in the humanities and social sciences. Although women have higher dropout rates than men in some, but not all STEM areas (most notably in mathematics and physics), self-efficacy differences do not explain this gap, suggesting that factors beyond prior achievements, sociodemographic background and confidence in one's own abilities perpetuate gender disparities in STEM attrition.