Self-efficacy is an individual's confidence in the personal ability to complete a task under specified conditions. Game self-efficacy is the belief of game players that they would win in a business simulation game competition. To understand the composites of such belief, an instrument of 30 statements was developed and statistically tested on 227 undergraduate students at the end of a business simulation game competition. The factor analysis produced eight factors of perceived game self-efficacy, namely, innovation, experimentation, conviction, openness, focus, proactivity, conceptualisation and determination. These factors have significant research implications for goal-oriented behaviour, goal setting and performance enhancement at work and in games and competitions, and in developing simulation games.