Although it hasn’t been thoroughly proven yet, shyness may prevent people from seeking advice. The current study, which is grounded on social cognitive theory, seeks to understand how and why shyness affects advice-seeking. We specifically contend that shy people lack the social self-efficacy necessary to commence advice-seeking. In addition, we propose that this link is moderated by social support. We discovered that shyness was adversely correlated with social self-efficacy using a three-wave study with 240 participants and that the latter mediates the indirect association between shyness and advice-seeking. The indirect association between shyness and advice-seeking via social self-efficacy was further modulated by social support, such that the indirect effect was only significant when social support was low. We go over the theoretical and practical ramifications of our findings as well as potential research avenues.