Physical activities are generally accepted as promoting important psychological benefits. However, studies examining martial arts as a form of physical activity and mental health have exhibited many methodological limitations in the past. Additionally, recent philosophical discussion has debated whether martial arts training promotes psychological wellbeing or illness. Self-efficacy has an important relationship with mental health and may be an important mechanism underpinning the potential of martial arts training to promote mental health. This study examined the effect of martial arts training on the psychological construct of self-efficacy. A total of 283 secondary school students with a mean age of 12.76 (SD = 0.68) years were recruited to complete a time-limited (10-session) martial arts intervention, which was examined using a randomised controlled trial. Univariate ANOVAs found that the intervention improved the experimental group’s self-efficacy compared to the control group, which was sustained at follow-up. Regression analysis indicated that socio-educational status moderated this outcome. These findings support the martial arts-based intervention’s potential to improve self-efficacy and promote wellbeing through physical activity. Martial arts training may be an efficacious psychosocial treatment that can be used as a complementary approach to promote mental health.