This study aimed to investigate the structure of science self-efficacy and proposed a structural model to delineate its relationships with students’ conceptions of learning and approaches to learning in science. Three questionnaires, Conceptions of Learning Science (CLS), Approaches to Learning Science (ALS) and Science Self-Efficacy (SSE), were administered to 321 Taiwan high school students to investigate their self-reports of the three corresponding constructs. The results of structural equation modeling (SEM) confirmed our hypothesis that students’ conceptions of learning science had a direct effect on their approaches to learning science, which in turn contributed to their science self-efficacy. More specifically, the students’ lower-level conceptions of learning science, memorizing, testing and calculating and practicing, exerted positive effects on their surface approaches to learning science, but had negative effects on their deep approaches to learning science. In contrast, students’ higher-level conceptions of learning science, increasing one’s knowledge, applying, understanding and seeing in a new way, could positively induce the deep motive, deep strategy and surface motive to learn science, but prohibited the surface strategy. The students’ deep motive, deep strategy and surface motive, in sequence, were likely to make direct contributions to their science self-efficacy.