This study investigated the impact of gender on the sources of students' self-efficacy in Mathematics in Tanzanian secondary schools. Data were collected from 267 Form 3 (Grade 11) students sampled from three public secondary schools in Dar es Salaam region. A previously validated questionnaire scale was used for measuring the sources of students' self-efficacy in Mathematics: mastery experience, vicarious experience, physiological state (emotional arousal such as anxiety) and social persuasions. Data were analyzed using descriptive statistics, structural equation modeling and latent mean analysis techniques. Results from the structural equation modeling showed that the four-factor model best describes the sources of students' self-efficacy in Mathematics. Results from descriptive statistics showed that students positively considered vicarious experience, mastery experience and social persuasions as credible sources of their self-efficacy in Mathematics. Results from the latent mean analysis showed significant gender differences in students' perception of mastery experience. Meanwhile, vicarious experience and mastery experience positively predicted students' Mathematics performance while physiological state was a negative predictor. The results imply that intervention for improving Mathematics learning ought to focus on fostering students' sources of self-efficacy, particularly reducing psychological states that lower students' self-efficacy in Mathematics.