In this paper, we investigate banking sector integration in the Gulf Cooperation Council during the period 1998–2009. The integration inference was derived by testing the convergence of cost efficiency scores. These efficiencies were measured using a smoothed bootstrap procedure that ensures consistency and unbiasedness. The convergence was examined using two tests: a beta convergence test and a sigma convergence test. The two tests show significant convergence, particularly during the transitional period 2003–2009, that witnessed substantial reforms. Therefore, we conclude that integration and harmonization measures taken by the Gulf Cooperation Council Governments have had a significant impact on efficiency and homogeneity of these countries’ banking markets.