Healthy competition in the field of education makes every individual strive to improve their abilities and competencies in terms of knowledge, skills and values related to mathematics. Mathematics as an important communication tool in the pursuit of the progress of the Industrial Revolution 4.0 era requires a community that is fluent and literate in mathematics. The main focus is to produce a generation of leaders who are analytical, critical and logical thinking urging the education sector to identify issues and shortcomings of self-efficacy related to mathematics from the grassroots level. The purpose of this study is to make a systematic literature review on the components of self-efficacy and its inclusion in mathematics education research. Two research questions that are emphasised are the components of self-efficacy and how self-efficacy is studied in empirical research in mathematics education. This study uses the PRISMA Model. Two search engines are used, namely the Education Resources Information Center (ERIC) and Google Scholar. Out of the 152 articles identified, a total of 20 articles were accepted that met the purpose of the study. Based on the analysis conducted, there are 4 components of self-efficacy that have been identified, namely mathematical self-efficacy, technological self-efficacy, academic self-efficacy and teaching self-efficacy. The findings also show that the majority of self-efficacy studies are conducted quantitatively compared to qualitatively. The main research lines observed were the level of self-efficacy, the relationship between self-efficacy and other relevant variables, and the development of self-efficacy. Although many previous studies have been conducted in the Asian continent, the number of studies that emphasise self-efficacy in the Malaysian environment is still considered small. Therefore, the results of this study are expected to provide a deep understanding so that such studies can be implemented in the context of education in Malaysia.