This study finds out the relationship between students academic self-efficacy and academic achievement in selected polytechnics in Nigeria. A descriptive survey method was used. The population for the study consisted of Chief lecturers and final year students of selected polytechnics in Nigeria. Out of a total population of 623 HND II Polytechnic students of the selected polytechnics in Nigeria, 271 were involved. Out of a total population of 168 chief lecturers, 109 of them were involved in the study. This brings the total number of participants to 380. Krejcie & Morgan sample size table cited in Ogbu, (2010) was used to determine the representativeness of the sample frame. Purposive sampling method was used in selecting the participants from the two population groups. The primary instrument was Likert Scale questionnaire. It is tagged Students Self-efficacy and Academic Achievement Questionnaire (SSEAAQ). The four null hypotheses were tested using chi square test at 5% level of significance and appropriate degree of freedom. Research results showed that there is a significant positive relationship between academic self-efficacy- and cognitive engagement of polytechnic students. And that there is a significant positive relationship between academic self-efficacy and academic achievement of polytechnic students in selected polytechnics in Nigeria. And also that there is a significant positive relationship between deep processing and academic achievement of polytechnic students in selected polytechnics in Nigeria. And lastly that there is significant positive relationship between persistence and academic achievement of polytechnic students in selected polytechnics in Nigeria. It was recommended among others that polytechnic lecturers should formulate programs and activities that will develop and maintain self-efficacy among students, develop activities that will also boost their cognitive engagement and interest in their studies. And that polytechnic lecturers should set high standard, aspirations and expectations for students by evolving programs aimed at encouraging and boosting students confidence to enhance their academic achievement.