The purpose of this study is to examine the state of PGDT (Post Graduate Diploma in Teaching) trainees' self-efficacy beliefs and the factors that contributed to its development with particular emphasis to PGDT trainees of Dilla University. The participants included 112 PGDT trainees who were selected using stratified random sampling. Quantitative data was collected through questionnaire which was eventually analyzed using both descriptive and inferential statistics such as independent sample t-test, one sample t-test, one way ANOVA and Multiple Linear Regression. The finding indicated that trainees have marginally average level of efficacy. It was also found that attitude to teaching (ß= 0.573, t=10.129, p<0.05) was the biggest contributor to self-efficacy belief followed by school climate in secondary schools measured in terms of teachers' professional collaboration (ß= 0.198, t= 5.276, p<0.05) and in-campus training practice (ß= 0.146, t=3.201, p<0.05) respectively. Compared to males, females had low self-efficacy beliefs. In contrast to popular expectations, the study additionally revealed that there was no significant mean difference in trainees' efficacy scores in terms of their CGPA. Interestingly, teaching experience before PGDT training negatively contributed to self-efficacy belief (ß= -0.070, t=-1.995, p< 0.05). Based on these major findings, it was concluded that trainees' efficacy with regard to bringing desired impact on secondary school students' achievement and behavior was not adequate and requires immediate attention.Finally, it was recommended that graduates should be given on-job training and teachers' professional collaboration in Ethiopian secondary schools should be further strengthened.