This study makes a new contribution to the study of teacher self-efficacy (TSE) by investigating the relationship between teacher-, classroom-, school- and principal characteristics jointly and three domains of TSE: student engagement, instruction and classroom management using multilevel modelling. It uses the TALIS data-set by the OECD comprising 32 countries. The characteristics were found to be differently related to the three domains of TSE; most notably those concerning the classroom. This—together with the results of structure equation models—indicate that TSE is a multi-dimensional construct, which is relevant internationally. The findings are relevant to education researchers, policy makers and practitioners.