Background: Self-efficacy (SE) is a person’s belief in his or her own capability to perform and accomplish a task that could produce a favourable outcome, despite facing obstacles. This study aimed to confirm the validity and reliability of an SE scale among undergraduate students at the Health Campus of the Universiti Sains Malaysia. Methods: A cross-sectional study was conducted among the undergraduate students using a self-administered questionnaire. After using a purposive sampling method, 562 students completed the questionnaire. Mplus 8 was employed to conduct the confirmatory factor analysis on the psychometric properties of Bandura’s 18-item SE scale with three factors (internal feeling, competing demands and situational). Then, the composite reliability was calculated for each factor. Results: Most of the students were Malay (73.3%) females (79.0%) who exercised 2.62 times a week for an average of 43.37 min per session. The final measurement model was obtained after removing six problematic items, and the model was deemed fit based on several indices [Root Mean Square Error of Approximation (RMSEA) = 0.067, Standardised Root Mean Square Residual (SRMR) = 0.004, Comparative Fit Index (CFI) = 0.924]. The composite reliability values of the three factors were acceptable (0.65 to 0.84). Conclusion: The simplified 12-item SE scale with three factors displayed good fit indices with regard to the data, and they were considered to be acceptable for the current sample.