The COVID-19 pandemic has imposed various stresses on individuals and communities. Coping with sudden, tense, demanding situations during an infectious disease outbreak requires self-efficacy. Increasing the public’s self-efficacy for preventive and control measures is important in the management of the COVID-19 pandemic. This research was aimed at evaluating the self-efficacy and associated factors of students at a public university in the southwest region of Saudi Arabia during the COVID-19 pandemic. This was a cross-sectional study, and a snowball sampling method was used to recruit participants. Data were collected from the beginning of April to the end of June 2020 using an online questionnaire. A total of 761 students were included in the study. The participants’ demographic data were collected, and self-efficacy was analyzed using the General Self-efficacy Scale. The results showed that self-efficacy for dealing with the COVID-19 pandemic was moderate in almost half of the students but was low in approximately 25% of the participants. There were statistically significant associations between self-efficacy regarding the COVID-19 pandemic and gender, college type, marital status, and family income (p < 0.05). However, the participants’ self-efficacy was not associated with age, residence, or history of chronic illness. In dealing with the COVID-19 pandemic, most students had either moderate or low self-efficacy. Certain demographic variables were positively associated with self-efficacy as perceived by the students. These findings provide data central to the development of self-efficacy initiatives. They may also be useful for the effective implementation of public health preventive behavior programs during the COVID-19 pandemic.