In order to answer the question whether changes in students' self‐efficacy levels co‐vary with similar changes in engagement and performance, a field study and an experimental study were conducted among university students. In order to do this, we adopted a subgroup approach. We created “natural” (Study 1) and manipulated (Study 2) subgroups based upon their change in self‐efficacy over time and examined whether these subgroups showed similar changes over time in engagement and performance. The results of both studies are partly in line with Social Cognitive Theory, in that they confirm that changes in self‐efficacy may have a significant impact on students' changes in cognition and motivation (i.e. engagement), as well as behavior (i.e. performance). More specifically, our results show that students' increases/decreases in self‐efficacy were related to corresponding increases/decreases in their study engagement and task performance over time. Examining the consequences of changes in students' self‐efficacy levels seems promising, both for research and practice.