Background/purpose: Over the past few decades, there has been a growing scholarly interest in mathematical self-efficacy, given its significant impact on students' motivation, persistence, and achievement. However, there is still a limited understanding of how these beliefs develop in culturally specific, non-Western settings, particularly in Arab educational systems. This study aims to address this gap by exploring the sources that shape mathematical self-efficacy among Saudi middle school students. Grounded in Bandura's (1997) social cognitive theory, this research examines how students' beliefs are shaped by personal experiences, social interactions, and emotional contexts. Materials/methods: The study employed a qualitative design that utilized semi-structured interviews and focus group discussions. Data were collected from a total of 48 male students, 12 mathematics teachers, 12 fathers, and 12 peers drawn from six middle schools in Al-Ahsa Governorate, Saudi Arabia, during the first semester of the 2025 academic year. A thematic analysis approach was applied to identify patterns and generate core themes that explain the development of mathematical self-efficacy. Results: Four key themes emerged, reflecting how students' beliefs are constructed: mastery experiences, vicarious learning through observation, verbal encouragement and feedback, and emotional regulation alongside the cultural framing of mathematical self-efficacy. These findings reveal the complex and culturally situated nature of self-efficacy development among Saudi students. Conclusion: The study emphasizes the importance of situating educational research within specific cultural and social contexts. It provides practical recommendations for designing culturally responsive instructional practices that foster mathematical self-efficacy, motivation, and support sustained engagement in mathematics classrooms.