Statistical knowledge is a key competency for psychologists in order to correctly interpret assessment outcomes. Importantly, when learning statistics (and its mathematical foundations), self-efficacy (defined as an individual's belief to successfully accomplish specific performance attainments) is a central predictor of students' motivation to learn, learning engagement, and actual achievement. Therefore, it is crucial to gain a better understanding of students' self-efficacy for statistics and its interrelations with statistics anxiety and students' belief in the relevance of statistics. Here, we present results showing development and validation of a self-assessment questionnaire for examining self-efficacy for statistics in psychology students (Self-Efficacy for Learning Statistics for Psychologists, SES-Psy). Upon using different methodological approaches, we demonstrate that the SES-Psy questionnaire has (1) sound psychometric properties, and within our sample of university students, (2) a robust latent structure disclosing three clearly distinctive profiles that are characterized by a complex and nonlinear interplay between perceived self-efficacy (for basic and advanced statistics), statistics anxiety, and students' belief in the relevance of statistics. Implications for educational settings and future research are discussed.