Transition into higher education (HE) has received increased interest in recent years, since it represents a challenging period for students. The aim of this study was to further understand the associations between self-efficacy, academic achievements, and regulation in first-year university students during their transition into HE. The convenience sample consisted of 374 first-year university students (230 females, 61.5%), aged from 18 to 33 (M = 19.86, SD = 1.51) and recruited from an Italian university. Self-efficacy was assessed using the Motivated Strategies for Learning Questionnaire; regulation strategies were assessed with the Inventory of Learning Patterns of Students; and a self-reported grade point average was taken as an indicator of each student's academic performance. Result shows that students' self-efficacy was positively associated with self-regulation and negatively associated with a lack of regulation. Students with higher self-efficacy and self-regulation strategies had better academic performance. Female students performed better in academic activities and adopted more external regulation strategies. The findings represent an opportunity for university institutions to consider the interventions they provide to first-year students in order to facilitate the successful transition from secondary school; they also provide researchers with further knowledge about the effect of self-efficacy, and regulation strategies on students' adjustment to HE.