Self-efficacy beliefs have cyclical nature as they enhance performance and performance, in turn, influences subsequent self-efficacy beliefs. Likewise, teacher self-efficacy is proposed to shape teaching quality which, in turn, informs future teacher self-efficacy beliefs. To examine these associations, longitudinal studies are needed but are still sparse. Therefore, the present research employed a three-wave longitudinal design to examine the predictive effects of teacher self-efficacy on teaching quality as well as the predictive effects of teaching quality on future teacher self-efficacy by using data from large samples of secondary school teachers (N = 1030) and their students (N = 17,381). Teachers self-reported their efficacy for student engagement, efficacy for instructional strategies and efficacy for classroom management whereas students rated the teaching quality (i.e., cognitive activation, classroom management, and student support) of their teachers. The results of the multilevel structural equation modelling showed that all three dimensions of teacher self-efficacy predicted teaching quality but teaching quality, in turn, predicted only teacher efficacy for student engagement. These results suggest that efforts in raising teacher self-efficacy may show fruitful in raising overall teaching effectiveness.