The objective of this study was to analyze the contribution of a Physical Education program on constructing beliefs in teacher self-efficacy, taking into account the teaching dimensions of instruction, organization, and social environment. A qualitative research was conducted through a semistructured interview with 11 college students in their last year of a Physical Education Degree at a public University in Santa Catarina, Brazil. The data were obtained through semi-structured interviews. The results showed that the mandatory internship was the main learning context, and the main sources of learning were direct teaching experiences and feedbacks during the internship, followed by professor observations within the required classes for the degree. Therefore, we concluded that college students attributed teaching self-efficacy to the teaching and learning experiences in the mandatory internship and the observations made during regular classes.