In the recent years, an increasing interest in self-efficacy has been observed. However, the impact of students’ perceived self-efficacy on their academic achievements needs more attention. The aim of this paper is to evaluate the effect of self-efficacy on English language proficiency of students at Umm Al-Qura University, Makkah, Saudi Arabia. This study attempts to answer the question whether there exists any relationship between Saudi students’ perceived self-efficacy and their achievement in English language learning. Self-efficacy scales were used to gather data from 230 preparatory year students from Umm Al-Qura University, Makkah, Saudi Arabia. Fifteen out of seventy-six sections were randomly selected from the three streams, namely, Medical, Scientific and Administration. For data analysis, descriptive statistical analysis was performed using SPSS. It is significant in terms of providing insights into the psychology of the students particularly regarding their perceived self-efficacy which will be of great help to the course designers, content developers and teachers in taking measures for the inclusion of the content to improve students’ self-efficacy. The findings show that there exists a positive correlation between General and English self-efficacy and achievements in English language learning. However, there is no positive correlation between social self-efficacy and English language achievements. On the basis of the findings, the study provides some recommendations to improve students’ self-efficacy for better performance in learning English. Based on the findings of the research, further research is recommended to compare self-efficacy of the students from different Saudi universities in order to explore the reasons for different levels of their self-efficacy and English language achievements.