Self-efficacy is an important concept in psychology, it reflects psychokinesis of individual environmental adaptability and environmental transformation. With the current popularization of higher education, researching self-efficacy of college students plays a promotive role in their healthy growth. This paper explains the concept of self-efficacy, elaborates its significant effect on college students, lists several influential factors and at last, compares music students’ self-efficacy on the basis of gender by experimentation, scale measurement and questionnaires. The research shows boys are generally higher than girls in self-efficacy. This paper analyzes the reasons for the results and propounds proposals for improvement, pointing out direction to improve self-efficacy for college music students in correct goal outlook establishment, correct self-awareness and active attribution and creating favorable conditions for students’ growth and job-hunting.