Self-efficacy, a critical psychological construct representing an individual's belief in their ability to control their motivation, behavior, and social environment. In adolescents, self-efficacy plays a crucial role in mental health, particularly concerning depressive symptoms. Despite substantial research, the complex interplay between self-efficacy and depressive symptoms in adolescents remains incompletely understood. The aim of this study is to investigate the complex interrelationships between self-efficacy and depressive symptoms in adolescents using psychological network analysis. The cross-sectional study involved 3,654 adolescents. Self-efficacy was assessed using the General Self-Efficacy Scale (GSES), and depressive symptoms were measured with the Patient Health Questionnaire-9 (PHQ-9). Network analysis, incorporating the least absolute shrinkage and selection operator (LASSO) technique and centrality analysis, constructed and compared self-efficacy networks between depressive symptoms and healthy control groups. Of the 3,654 participants, 560 (15.32%) met criteria for moderate to severe depressive symptoms (PHQ-9 scores ≥10). Among those with depressive symptoms, 373 (66.61%) had moderate, 126 (22.50%) had moderate-severe, and 61 (10.89%) had severe symptoms. Bivariate correlation analyses revealed a significant negative correlation between depressive symptoms and self-efficacy (r = -0.41, p < 0.001). The results of the network analysis showed significant differences in self-efficacy networks between adolescents with and without depressive symptoms (global strength: S = 0.25, p < 0.05). Depressed participants showed a network with reduced global strength, suggesting diminished interconnectedness among self-efficacy items. Specific connections within the self-efficacy network were altered in the presence of depressive symptoms. Bridge analysis revealed that effort-based problem-solving (bridge strengths = 0.13) and suicidal ideation (bridge strengths = 0.09) were the key bridge nodes. Adolescent depressive symptoms significantly impacts the self-efficacy network, resulting in diminished integration of self-efficacy and highlighting the complex interplay between self-efficacy and depressive symptoms. These findings challenge the traditional unidimensional view of self-efficacy and emphasize the need for tailored interventions focusing on unique self-efficacy profiles in adolescents with depressive symptoms.