The relation between the understanding and belief of the site-specific dangers of climate change and the behaviour that individuals take to mitigate their impacts was assessed to investigate the psychological antecedent to pro-environmental behaviour; a necessity to mitigate anthropogenic climate change at the individual level. A quantitative cross-sectional design was employed to measure beliefs and behaviour of university students. Correlation was measured between the belief in one’s ability to affect change and pro-environmental behaviour. The hypothesis that nations facing greater climate threat would behave accordingly was tested on the two largest national representatives of the sample, China and Australia. In addition, a naïve Bayesian network, coupled with a self-organising map, was developed to explore correlations between self-efficacy and participants’ socio-demographic features. Results showed that Chinese students are more likely to have higher self-efficacy, while such trend was not noticed for Australians. Similarly, participants with higher educational qualifications, older, and with higher paid jobs also have a higher chance of presenting pro-environmental behaviour. Despite the study limitations, there seems to be evidence suggesting that educational and climate change policies have affected students’ self-efficacy and individual commitment to mitigation.