Objective Postgraduate psychology students must develop three generic capabilities: theory, research, and communication. This is critical to strengthen the link between science and practice. The current study explored the impact of students’ postgraduate program on task values and self‐efficacy beliefs using an expectancy‐value perspective. Method Two hundred and thirty‐seven postgraduate psychology students (195 females, Mage = 30.98, standard deviation = 8.34) completed a survey investigating student values and expectations. Students were enrolled in a Master of Psychology (n = 90), research‐only PhD (n = 72), or professional doctorate/Masters with PhD (n = 75). Results A series of 3 (Domain) × 3 (Program) mixed factorial analysis of variances were conducted to explore postgraduates’ social influences, task values, and self‐efficacy beliefs towards theory, research, and communication. Coursework students perceived peers to value communication skills significantly more than research, while research‐only students perceived peers to value theory, research, and communication equally. Postgraduate students in all programs reported consistently lower task values and self‐efficacy beliefs towards the research domain. Conclusion Australian universities and professional organisations are encouraged to support the development of practice–research networks to facilitate greater collaboration and stronger links between future psychological scientists and practitioners.