Based on Social Cognitive Theory (Bandura 1986) research in academic writing and self-efficacy has shown that there is a relationship between students' performance and their belief in their writing abilities (Matoti and Shumba 2011, Shah et al. 2011, Prat-Sala and Redford 2012. Using questionnaires, interviews and an assessed written task, this study seeks to contribute to this research by exploring the relationship between writing proficiency and self-efficacy beliefs of undergraduate students taking an Advanced Writing Skills course. The aims of the study were to find out a) what the writing proficiency self-ratings of students doing the Advanced Writing Skills course are like b) their writing self-efficacy beliefs c) what they perceive to be problems related to their writing skills and d) whether there is any relationship between performance level of the students and their self-efficacy beliefs. An analysis of the results reveals that although students' self-rating was high, their efficacy beliefs were moderate. The results of the present study also reveal that there was no relationship between students' essay writing performance and their self-efficacy beliefs in the context of this study. This article argues that although self-efficacy beliefs need not be high for students to be motivated to perform better, boosting these beliefs can add to students' tools for developing their writing competence.