Self-efficacy beliefs are central to mental health. Because adolescents' neighborhoods shape opportunities for experiences of control, predictability, and safety, we propose that neighborhood conditions are associated with adolescents' self-efficacy and, in turn, their internalizing problems (i.e., depression/anxiety symptoms). We tested these hypotheses using three waves of data from the Project on Human Development in Chicago Neighborhoods (N = 2,345). Results indicate that adolescents living in violent neighborhoods tended to report lower self-efficacy beliefs, partly because they were more likely to experience fear in their neighborhood. However, moving out of Chicago neighborhoods marked by violence and low collective efficacy to neighborhoods outside of the city was associated with adolescents' increased self-efficacy (vs. staying in such neighborhoods), an association explained by adolescents' school-related experiences. Finally, through self-efficacy, these neighborhood processes had an indirect association with adolescents' internalizing problems. Results partially support a model linking neighborhood conditions, cognitions about the self, and emotions.