Self-efficacy is the sense that you are competent and effective as a whole. This is different than self-esteem in that self-esteem is more about self-worth whereas self-efficacy is about your abilities.
My example is about myself. I am a gymnast, and have been off and on for years. I am currently taking a gymnastics class right now and was very frustrated in the beginning of the class because I could not do some of the things I used to be able to do. One day the assistant coach was critiquing me on one of my skills and told me I couldn’t do it because I lacked the strength. In the past, I had always struggled with the skill, but by the end of the season, or class, I could always do it.
Since the assistant coach told me I couldn’t do the skill that I had been working on because I am not strong enough, I experienced low self-efficacy because I believed him. I no longer felt that I was competent and effective in that area of gymnastics. I am still a good person, so my self-esteem was not damaged, but my self-efficacy for that skill is now lower.