This study evaluates teacher self-efficacy perceptions among students in the Master’s Degree in Secondary Education and Baccalaureate, Vocational Training, and Language Teaching (MDSE), as well as the variables influencing these perceptions and their connection to the program’s training. The research sheds light on how self-efficacy affects views on concerns, feelings, and attitudes towards diversity and inclusive education in the current educational landscape. Out of 205 female and 100 male MDSE students surveyed, who are either graduates or nearing completion, data were gathered using the “Teacher Education in Secondary Education: Key Elements for Teaching in an Inclusive School for All” (FORPES-IN) questionnaire distributed across Spanish universities. Three primary instruments from the questionnaire were utilized: the Teachers’ Self-Efficacy Short Form (TSES-SF), the Questionnaire for Future Secondary Education Teachers regarding Perceptions of Diversity, and the Revised Scale of Feelings, Attitudes, and Concerns about Inclusive Education (SACIE-R). Findings suggest that the majority of prospective teachers exhibit moderate-to-high levels of self-efficacy. Variables such as non-formal teaching experiences, the reason for joining the MDSE program, and regular interactions with vulnerable individuals, especially in Social and Health Science domains, moderately influence self-efficacy. This study reveals a strong link between the received training and the perceived level of self-efficacy. In particular, participants with higher self-efficacy feel better equipped to handle classroom diversity and rate the MDSE program positively. Areas for enhancement are identified, such as classroom management and diversified assessment strategies. Finally, a positive correlation is observed between high self-efficacy and positive attitudes toward disability, inclusive education principles, and reduced apprehensions about inclusive teaching.