This study aims to analyse correlations between the self-leadership strategies employed by university students and their self-efficacy and to determine whether or not their self-leadership and self-efficacy differ significantly on the basis of gender. The study is in the model of correlational survey and it uses random sampling method. The study was performed with the voluntary participation of undergraduate students (N=341), and the research data were collected through Self-Leadership Scale and General Self-Efficacy Scale. Multiple regression analysis was employed in determining the predictive power of self-leadership strategies. The analysis results demonstrated that self-leadership strategies were correlated with self-efficacy and that self-leadership strategies were predictors of self-efficacy. Accordingly, the strongest predictor of self-efficacy was natural reward strategies. In the context of the conclusions reached in this research, training and activities to promote self-leadership skills can be included in higher education programmes.