The relationship between self-efficacy, employee engagement and personality were explored in a study of employees in a financial services firm. Performance data collected by the organization was examined for employees from 20 branches of the firm at two points of time over an eight-month period. Two surveys were carried out at six-month intervals to assess generalized self-efficacy and employee engagement. A short version of an assessment of the Big 5 personality variables was also included in the first survey and task specific measures of self-efficacy were developed and included in the second survey. Results indicated a strong significant relationship between two task specific measures of self-efficacy and also by employee engagement with work performance data even when prior performance was taken into account. Neither generalized self-efficacy nor individual differences acted as a mediator between task specific self-efficacy or employee engagement with actual work-related performance measures.