Perceived academic self-efficacy represents an important component of students’ mental health and well-being. The link between efficacy beliefs and level of academic performances relies on the fact that they regulate the anxiety and foster motivation, school engagement, effort, and perseverance of students. This paper aims to identify factors that are conducive for more efficacious beliefs in different socio-economic and educational contexts. We build our analysis on data collected from a sample of Romanian upper secondary education students on their beliefs in relation to their ability to perform at the baccalaureate exam. We employ decision tree models in order to unveil the way factors interact and predict perceived academic self-efficacy, with focus on the positive support received from parents and teachers, as well as on features of the school environment. Our results can be useful for building more resilient educational environments that support mental health and academic well-being of students.