Academic self-efficacy reflects an adolescent’s level of confidence or belief that she or he can successfully accomplish educational assignments and tasks, which are also argued to be a fundamental factor in educational progress and success. Little is known, however, about the academic self-efficacy that the children of immigrants have, which is particularly relevant today in the midst of the current social, political, and economic debate over the influence of immigration in U.S. public schools. Segmented assimilation theory guides this study’s understanding of the children of immigrants’ academic self-efficacy. Analyses, which draw from the Educational Longitudinal Study of 2002 and multilevel analyses, indeed reveal imperative findings. Most notably, the association between academic self-efficacy and assimilation is moderated by gender, race, and ethnicity. This article also discusses the importance of understanding the schooling of the children of immigrants in the educational system.