Adherence to hand hygiene procedures is crucial for all populations, and the World Health Organization (WHO) has implemented specific guidelines for infection control. Frequent and correct hand hygiene can prevent infections, but non-compliance with hand hygiene is pervasive. Nursing students address this issue from the beginning of their training. In nursing training, self-efficacy is crucial in enhancing students' competence, motivation, and clinical performance. We performed a cross-sectional multicenter study in five European countries, with a cross-sectional design with an online application of an instrument measuring hand hygiene knowledge based on WHO guidelines and general self-efficacy and specific self-efficacy for infection control. A total of 638 first-year nursing students participated in this study. The mean percentage of correct answers was 67.9%, with a considerable difference depending on the items. The worst results were obtained for questions related to sources of infection and types of hand hygiene methods in different situations. Finnish students displayed significantly (p < 0.001) higher scores in HH knowledge, whereas Estonian students had significantly (p < 0.001) higher levels of self-efficacy. There were significant correlations between the hand hygiene knowledge score and the self-efficacy score (p < 0.001). A multivariate analysis by linear regression analysis showed significant associations between the hand hygiene knowledge survey score and the students' age (p < 0.001, OR = 0.18, 95% CI 0.04-0.10), as well as their country of origin (p = 0.01, OR = 0.09, 95% CI 0.03-0.34). HH knowledge is quite low among nursing students, and is correlated with self-efficacy, although the strongest predictors are age and country of origin. Different nursing curricula must favor HH knowledge, with varying degrees of emphasis depending on the country.