Self-efficacy in mathematics is related to engagement, persistence, and academic performance. Prior research focused mostly on examining changes to students’ self-efficacy across large time intervals (months or years), and paid less attention to changes at the level of lesson sequences. Knowledge of how self-efficacy changes during a sequence of lessons is important as it can help teachers better support students’ self-efficacy in their everyday work. In this paper, we expanded previous studies by investigating changes in students’ self-efficacy across a sequence of 3–4 lessons when students were learning a new topic in mathematics (n Students  = 170, n Time-points  = 596). Nine classes of Norwegian grade 6 ( n  = 77) and grade 10 students ( n  = 93) reported their self-efficacy for easy, medium difficulty, and hard tasks. Using multilevel models for change, we found (a) change of students’ self-efficacy across lesson sequences, (b) differences in the starting point and change of students’ self-efficacy according to perceived task difficulty and grade, (c) more individual variation of self-efficacy starting point and change in association with harder tasks, and (d) students in classes who were taught a new topic in geometry had stronger self-efficacy at the beginning of the first lesson as compared to those who were taught a new topic in algebra (grade 10), and students in classes who were taught a new topic in fractions had steeper growth across the lesson sequence as compared to those who were taught a new topic in measurement (grade 6). Implications for both research and practice on how new mathematics topics are introduced to students are discussed.