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There is a significant underrepresentation of women in many Science, Technology, Engineering, and Mathematics (STEM) majors and careers. Prior research has shown that self-efficacy can be a critical factor in student learning, and that there is a tendency for women to have lower self-efficacy than men in STEM disciplines. This study investigates gender differences in the relationship between engineering students' self-efficacy and course grades in foundational courses. By focusing on engineering students, we examined these gender differences simultaneously in four STEM disciplines (mathematics, engineering, physics, and chemistry) among the same population. Using survey data collected longitudinally at three time points and course grade data from five cohorts of engineering students at a large US-based research university, effect sizes of gender differences are calculated using Cohen's d on two measures: responses to survey items on discipline-specific self-efficacy and course grades in all first-year foundational courses and second-year mathematics courses. In engineering, physics, and mathematics courses, we find sizeable discrepancies between self-efficacy and performance, with men appearing significantly more confident than women despite small or reverse direction differences in grades. In chemistry, women earn higher grades and have higher self-efficacy. The patterns are consistent across courses within each discipline. All self-efficacy gender differences close by the fourth year except physics self-efficacy. The disconnect between self-efficacy and course grades across subjects provides useful clues for targeted interventions to promote equitable learning environments. The most extreme disconnect occurs in physics and may help explain the severe underrepresentation of women in "physics-heavy" engineering disciplines, highlighting the importance of such interventions.