Self-efficacy is a key personal resource in individual development and successful adaptation, and it can serve innumerable purposes. Our study investigated levels and change rates in self-efficacy among newcomer and more experienced immigrant adolescents and tested whether acculturation-related and developmental variables explained inter-individual differences in self-efficacy in both groups. The sample comprised 480 newcomer (59% female, 15.8 years old) and 483 experienced (55% female, 15.9 years old) immigrant adolescents, assessed in four annual waves. Latent growth curve models showed newcomers to have lower levels and more pronounced increases of self-efficacy as compared to experienced immigrant adolescents. Both acculturation-related and developmental variables predicted self-efficacy. The results highlight the need for focusing on immigration stages and support the notion of combining developmental and acculturative factors in the study of immigrant adolescents.