ABSTRACT This study examines the mathematics self‐efficacy of 833 high school students from four Brazilian public schools. Using an exploratory cross‐sectional design with a mixed‐methods approach, students completed online instruments including a sociodemographic questionnaire, scales measuring various self‐efficacy domains (mathematics, self‐regulated learning, social and emotional) and open‐ended questions about their perceived attributes in learning mathematics. Multiple regression analysis revealed that student characteristics and self‐efficacy domains collectively explained 47.4% of the variance in mathematics self‐efficacy. Qualitative analysis revealed the complex nature of mathematics self‐efficacy, emphasising students' perceptions of their strengths and weaknesses in learning. The study underscores the significant influence of student characteristics and self‐efficacy domains, highlighting the importance of mixed‐methods approaches for deeper insights and guiding future educational interventions.