Professor Bandura has written the following on
the distinction between self-efficacy and confidence.

"It should be noted that the construct of self-efficacy differs from the colloquial term "confidence." Confidence is a nondescript term that refers to strength of belief but does not necessarily specify what the certainty is about. I can be supremely confident that I will fail at an endeavor. Perceived self-efficacy refers to belief in one's agentive capabilities, that one can produce given levels of attainment. A self -efficacy assessment, therefore, includes both an affirmation of a capability level and the strength of that belief. Confidence is a catchword rather than a construct embedded in a theoretical system. Advances in a field are best achieved by constructs that fully reflect the phenomena of interest and are rooted in a theory that specifies their determinants, mediating processes, and multiple effects. Theory-based constructs pay dividends in understanding and operational guidance. The terms used to characterize personal agency, therefore, represent more than merely lexical preferences."

See Self-Efficacy: The Exercise of Control, 1997, p. 382