Despite increased social and emotional challenges in online learning during the COVID-19 pandemic, little attention has been paid to students' social and emotional self-efficacy beliefs. The present study investigated university students' (N = 268) academic, social, and emotional self-efficacy beliefs as predictors of their academic achievement, sense of belonging, and well-being in online learning during the pandemic. We first evaluated the factor structure of the three types of self-efficacy. Results revealed that academic, social, and emotional self-efficacy beliefs were related yet distinct constructs. In the path model, gains in academic self-efficacy positively predicted students' academic achievement, whereas social self-efficacy and emotional self-efficacy positively predicted students' sense of belonging and well-being, respectively. In addition, students' mastery experience emerged as a significant predictor of longitudinal changes in academic self-efficacy.