Although gender differences in self-efficacy and subjective well-being have been reported in previous studies, little published research has investigated the interrelationships between these variables in adolescents. 648 Chinese adolescents were administered a series of questionnaires to test the hypothesis that self-efficacy mediates the relationship between gender and subjective well-being. The results indicated that adolescent girls had lower general self-efficacy than adolescent boys, which explained girls' lower subjective well-being. The theoretical and practical implications may help parents and educators to strengthen adolescents' happiness.