Prior research has shown that self-efficacy can be a critical factor in student learning and performance in different STEM disciplines. Moreover, although past research has documented self-efficacy differences between female and male students in some STEM disciplines, there has not been research comparing these relations across disciplines. In order to better understand these relations and how self-efficacy and academic performance are related, we analyzed undergraduate engineering students' physics, mathematics, engineering, and chemistry grades using large-scale institutional data and their self-reported self-efficacy using a validated survey in each of these disciplines to examine gender differences in engineering students' self-efficacy and course grades. We find discipline-dependent trends in the relationship between self-efficacy and course grades, including a self-efficacy gender gap in physics which does not close by the fourth year in engineering along with a gender gap in physics course grade that favors men despite women engineering majors outperforming men in every other discipline. The troubling trends reported here should be addressed in order to make STEM learning equitable and inclusive.