Depression in the current decade had emerged as a disorder of self regulation. Depression has significant relationship with self–efficacy, Self-concept. Realising the consequences of depression among adolescent students and its effect on self-efficacy level, the present study has focused on To study the nature of self-efficacy of the students in terms of their levels of depression (at risk, vulnerable and control). A group of 150 higher secondary students from 2 schools in murshidabad district of West Bengal were drawn equiproportionally from two stream of education ( Science stream and Humanities stream ). They were selected randomly. The sample of present study was categorized under 3 levels of depression i.e. control, vulnerable and at risk by administering WHO Depression symptom checklist and Beck Depression Inventory. Levels of self- efficacy varies in terms of levels of depression (at risk, vulnerable and control).epression in the current decade had emerged as a disorder of self regulation. Depression has significant relationship with self–efficacy, Self-concept. Realising the consequences of depression among adolescent students and its effect on self-efficacy level, the present study has focused on To study the nature of self-efficacy of the students in terms of their levels of depression (at risk, vulnerable and control). A group of 150 higher secondary students from 2 schools in murshidabad district of West Bengal were drawn equiproportionally from two stream of education ( Science stream and Humanities stream ). They were selected randomly. The sample of present study was categorized under 3 levels of depression i.e. control, vulnerable and at risk by administering WHO Depression symptom checklist and Beck Depression Inventory. Levels of self- efficacy varies in terms of levels of depression (at risk, vulnerable and control).Keywords: Depression, self-efficacy, self beliefs, Depression symptom checklist, Depression Inventory.