Background: Etiologic studies, are regards social phobia as a complex multi-factorial reality and the overt expression of a complicated interaction of physical, social and psychological factors. The recognition of role of the negative propensities such as low self-efficacy, has been an aims of researchers with, specially, Bandura's Social Cognitive approach.Objective: The aim of this study was to determine the role of self-efficacy constructin explanation and prediction of student's social phobia, in framework of Bandura's Social Cognitive ModelMethod: This study was conducted with survey and cross-sectional method. Data were collected from 220 students of Yazd University, from seven educational groups, between 23 of October and 23 of November 2006. These Students were selected to random sampling. These Students then responded to Standardized Scales: General Self-efficacy Scale (GSES) and Social Phobia Inventory (SPIN).Results: The results showed significant Correlation between self-efficacy and social phobia (P<.001),as a whole, and between self-efficacy and components of fear of people in authority (P<.001), fear of criticism and shyness (P<.001),and fear of talking in public and talking to strangers (P<.001), specially. Hierarchical multiple regression analysis Showed that the self-efficacy variable explained for 20.1% of the variance in social phobia.Discussion: The findings of present study was approved the validity of self-efficacy as the central construct of Bandura's Social Cognitive theory in explanation and predition of social phobia in students.