Although statistics and research are key components of social work education, students are often described as reluctant consumers and users of statistics. Self-efficacy theory has been used to understand students’ engagement with the statistical knowledge needed for practice. This quantitative study explores the relationship between self-efficacy, self-reported ability, and demonstrated statistical knowledge among MSW students (N = 101). There was a weak positive relationship between self-efficacy and the ability to apply statistics, but self-efficacy was not associated with perceived or demonstrated ability to define statistical concepts. Although many students demonstrated a strong ability to define statistical concepts, the majority of students were unable to apply the concepts to a practice-based example. The implications for competency-based statistical instruction are discussed.