Self-efficacy denotes people's beliefs about their capabilities to perform in different situations. It functions as a multilevel and multifaceted set of beliefs that influence how people feel, think, motivate themselves, and behave. Self-efficacy beliefs are informed by enactive attainment, vicarious experience, imaginal experiences, social persuasion, as well as physical and emotional states. These beliefs are mediated by cognitive, motivational, affective, and selection processes to generate actual performance. Self-efficacy development is closely intertwined with a person's experiences, competencies, and developmental tasks in different domains at different life stages. This paper outlines the conceptualization of the construct and presents how its determinants are used in Positive Adolescent Training through Holistic Social Programmes (P.A.T.H.S.), supported by the Hong Kong Jockey Club Charities Trust, to help adolescents cultivate self-efficacy.