Previous research has shown that musical self-efficacy is one of the predictors of academic achievement, but few studies have analyzed the function of social support in the construction of musical self-efficacy. In this study we analyze the relationship between three sources of support perceived by music students – parents, teachers, and peers – and their influence on levels of self-efficacy for learning and for public performance. We analyze three groups of students under the hypothesis that relationships among those variables can vary with age and the level of education. A total of 444 students enrolled in six Spanish music schools, two music universities, and four advanced music schools, completed the Social Support Scale for Music Students, as well as the General Musical Self-Efficacy Scale. Results reveal significant relationships among the aforementioned variables, with considerable variation according to academic level. For the youngest students enrolled in advanced music schools (conservatorios profesionales), the role of parents and teachers was crucial, especially for predicting self-efficacy for learning, which, in turn, is the best predictor of self-efficacy for public performance. For the 16–18-year-olds enrolled in the same advanced music schools, their peers play a particularly relevant role in reinforcing their self-efficacy for learning. Social support had a negligible influence on the self-efficacy of university-level students, but they did experience a strong relationship between self-efficacy for learning, on the one hand, and public performance, on the other. We interpret these results in view of potential long-term careers in music, relating them with a series of different agents.