Self-Efficacy is a recent advancement emerged in the field of Human Resource Management and can be practically applied in business organizations worldwide in order to ensure organizational effectiveness and gain competitive edge. It is the belief of individual in his/her abilities to perform a specific task. It has many implications for organizations and is related with various job outcomes viz: job satisfaction, organizational commitment, profitability, success and organizational change. Therefore, keeping in view the importance of self-efficacy in today's competitive environment, an attempt was made towards investigating the gender differences that exist across the varied dimensions of self-efficacy viz- confidence, command, adaptability, personal effectiveness, positive attitude and individuality. The study was conducted among 417 bank employees' (clerical and managerial staff) working in different branches and administrative offices of four public and private sector banks namely: SBI, PNB, JKB, and HDFC operating in the union territory of J&K. The data was collected through well-structured questionnaire among the sample respondents which was then analyzed and interpreted using statistical tools viz- mean, standard deviation and T- test. The results of the study revealed that there exists a significant difference between perception of men and women on command, confidence and individuality. On the other hand, no significant gender differences were obtained on the perception of adaptability, personal effectiveness and positive attitude. Further on the basis of empirical evidence,it has been suggested that bank authorities need to take due care of the personal traits while recruiting its human resource in order to ensure their operational effectiveness in particular and organizational effectiveness in general.