In the field of vocational psychology, career decision-making self-efficacy (CDMSE) and career exploration (CE) are considered the crucial factors for developing a sustainable career. This study investigated the relationship between CDMSE and CE among Chinese high-school students, as well as the moderating effects of gender and school. From 2019 to 2021, 24,273 students from 13 different high schools were recruited in the study (male = 15,050, female = 9223; urban schools = 12,327, rural schools = 11,946). The results showed that (i) male students scored significantly higher than female students in both CDMSE and CE, (ii) students from urban schools scored significantly higher than students from rural schools in both CDMSE and CE, (iii) CDMSE positively predicted CE, and (iv) school moderated the relationship between CDMSE and CE, with the effect of CDMSE on CE stronger among rural school students; a moderating effect of gender was not found. These findings indicate that promoting CDMSE can lead high-school students, especially rural school students, to engage more in CE to ensure sustainable career development under the protean and boundaryless career orientation.