Self-efficacy is a vital personal characteristic for student success. However, the challenge of cross-cultural comparisons remains as scalar invariance is hard to be satisfied. Also, it is unclear how to contextually understand student self-efficacy in light of cultural values in different countries. This study implements a novel alignment optimization method to rank the latent means of student self-efficacy of 308,849 students in 11,574 schools across 42 countries and economies that participated in the 2018 Program in International Student Assessment. We then used classification and regression trees to classified countries with differential latent means of student self-efficacy into groups according to Hofstede's six cultural dimensions theory. The results of the alignment method recovered that Albania, Colombia, and Peru had students with the highest mean self-efficacy, while Slovak Republic, Moscow Region (RUS), and Lebanon had the lowest. Moreover, the CART analysis indicated a low student self-efficacy for countries presenting three features: (1) extremely high power distance; (2) restraint; and (3) collectivism. These findings theoretically highlighted the significance of cultural values in shaping student self-efficacy across countries and practically provided concrete suggestions to educators on which countries to emulate such that student self-efficacy could be promoted and informed educators in secondary education institutes on the international expansion of academic exchanges.