In this study, relationships among self-efficacy, intrinsic motivation and anxiety were investigated across Turkey, Japan and Finland to predict the PISA 2003 mathematics performance. The data of student questionnaire was used in the study. In three of the countries, self-efficacy positively predicted mathematics achievement and this effect was relatively higher in Finland and mediating roles of intrinsic motivation and anxiety between self-efficacy and mathematics achievement were quite small. To investigate the possible sources of self-efficacy beliefs in different cultures may contribute to understand the differences on the relationship between self-efficacy and achievement. Also findings suggest that examining joint relationships when evaluating the strength of relationships among motivational beliefs and achievement are important.