As a motivational factor of action, political efficacy is an important predictor of political behavior. The term was invented to capture the extent to which people feel that they can effectively participate in politics and shape political processes. Today, we have a comprehensive knowledge of the individual-level factors (socio-demographic variables, political preferences, etc.) that shape the level of internal and external dimensions of political efficacy. However, while it is widely demonstrated that media consumption influences the level of political efficacy, the country-level media context factors affecting it have rarely been studied. This article reports the findings of extensive research on how two crucial features of the media context, the political significance of the media and the level of political parallelism in the media system, shape the level of external and internal political efficacy. The investigation draws upon the data set of the seventh round (2014–2015) of the European Social Survey (ESS) and includes more than 22,000 respondents from 19 European democracies. The research hypothesizes that in countries where the media play a more important role, people have lower levels of external and higher levels of internal political efficacy. Political parallelism, which shows the extent to which media outlets are driven by distinct political orientations and interests within a particular media system, is expected to directly increase both external and internal political efficacy. Its indirect effect is also hypothesized, arguing that partisan media amplifies the winner–loser gap in political efficacy as a kind of “echo chamber.” The findings show that in countries where the media play a major role in shaping political discourse, people have lower levels of external political efficacy, while the political parallelism of the media system indirectly affects the external dimensions of political efficacy. Internal political efficacy is, however, not related to these context-level factors.