Although female students' overall performance in mathematics is on a par with the performance of male students, female students tend to report lower levels of mathematics self-concept (MSC) than their male schoolmates. With the present study, we examined for the first time whether occupational gender diversity (i.e., a balanced gender ratio) in science, technology, engineering, and mathematics (STEM) statistically predicted students' MSC beyond well-established sources of self-concept formation as described in the big-fish-little-pond effect framework. To this end, we applied linear mixed-effects models to large, representative data sets comprising 120,270 students from 23 countries. After controlling for individual-level and school-level achievement, we found an interaction between students' gender and country-level STEM gender diversity, with female students reporting higher MSC in countries characterized by greater gender diversity. Our results therefore suggest that a lack of societal STEM gender diversity negatively affects female students' MSC formation and that good mathematics performance in itself does not protect female students from this adverse trend. We interpret our findings against the background of self-concept theory and research as well as psychological theories of gendered socialization. Educational Impact and Implications Statement: In our study, we examined gender differences in students' mathematics self-concept (MSC)--that is, their perception of their own mathematics ability--across 23 countries. Whereas female and male students tend to perform similarly well in mathematics, female students tend to rate their own mathematics ability considerably lower than their male counterparts do in almost all countries. Our results revealed that the ratio of women to men in scientific, technical, engineering, or mathematics (STEM) research jobs in a country was significantly related to female students' MSC, but this finding did not hold for the male students. Female students reported lower MSCs when they lived in countries in which female scientists were scarce--regardless of the female students' mathematics achievement. High achievement in mathematics alone thus does not seem to be sufficient for improving female students' MSC in societies with gender inequities in STEM, further indicating the need to enhance gender diversity in STEM fields around the world in order to provide role models for girls and women.