Self-efficacy, the belief in one's ability to succeed in learning tasks, predicts learning and success in education broadly and physics specifically. While self-efficacy increases for students in most introductory science and mathematics courses, self-efficacy consistently decreases for women in physics courses. This study used the experience sampling method to investigate gender differences in the self-efficacy states high school students experienced in physics, other math and science classes, and other classes. Data for the study came from the Sloan survey of youth and social development and included data from 1332 students at 12 different schools collected between 1993 and 1997. Principle components analysis identified a self-efficacy state measure within the data. Comparisons of self-efficacy states across gender and activity (e.g., physics and science and mathematics courses) using a two-level hierarchical linear model identified a large gender difference in self-efficacy states in physics and only in physics. These results add to the growing evidence that female students' physics self-efficacy tends to decrease after taking physics courses. Given that self-efficacy predicts career choice and success, decreases in women's physics self-efficacy may inform why women are much less likely to pursue physics careers than men.