This study examines academic self‐efficacy and gender as predictors of internalizing and externalizing behaviors in adolescence. In addition, the role of gender was considered as a moderator in the relationship between academic self‐efficacy and internalizing/externalizing difficulties. Participants were 4,318 predominantly African American, low‐income high school students who completed self‐report measures on the constructs of interest. Academic self‐efficacy and gender were both significant predictors of risk for internalizing problems, whereas only academic self‐efficacy predicted risk for externalizing (hyperactivity/distractibility) problems. Gender did not predict externalizing difficulties, nor did gender serve as a moderator in any analysis. Implications include focusing on academic self‐efficacy in the development of strategies for prevention and intervention of internalizing and externalizing problems.