The aim of the current study was to examine whether self-efficacy mediated the associations between shyness and subjective well-being, and the universality and specificity of this mediated effect between the different groups in demographic factors, e.g., gender, only children and non-only children, urban and rural in a sample of Chinese college students. We had 311 university students, with age range of 18–24 respond to self-report measures by using the paper and pencil assessments including Cheek and Buss shyness scale, general self-efficacy scale, positive affect and negative affect scale and satisfaction with life scale. Results of structural equation modeling showed fully mediated effect of self-efficacy in the relationship between shyness and life satisfaction, and partially mediated effect of self-efficacy in the relationship between shyness and positive and negative affect. Moreover, multi-group analyses found that the paths did not differ by only children and non-only children, urban and rural, but shyness was more strongly associated with males’ self-efficacy, compared to females. Implications and limitations of the findings are discussed.