Postgraduate students are required to undertake a series of research assignments. Research self-efficacy is regarded as the sense of faith in their ability to accomplish research tasks. However, it is unclear how research self-efficacy plays a role in second-year nursing postgraduate students who have been enrolled for a period of time and have not yet met graduation requirements. This study aims to explore the sources of second-year nursing postgraduate students’ research self-efficacy in response to research tasks. A descriptive phenomenological approach was used in this study. A total of 13 second-year nursing postgraduate students participated in semi-structured interviews using a purposive sampling method. Content analysis was applied to analyze the interview data after verbatim transcription. Participants stated that they had gained a great deal of support but were somewhat less confident. Three themes were refined: (a) intrinsic sources of research self-efficacy (differences in cognitive ability, internal driving force, with successful experience), (b) extrinsic sources of research self-efficacy (family support, peer support, mentor support), and (c) unmet support may cause low self-confidence (inadequate self-support, inadequate extrinsic-support, lack of motivation from successful experiences). The postgraduate students in this study accepted the objectives of the master’s training and actively practiced research exploration. They were motivated to persevere through their internal and external support, albeit with some negative aspects that deserve our attention. Interventions for postgraduate students’ cognitive awareness, constant support during their postgraduate career, and finally, guiding summaries may have a positive impact on their self-efficacy.