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Adolescents from disadvantaged backgrounds often face greater challenges in maintaining psychological well-being at school. Within the school context, academic self-efficacy (ASE), defined as students’ belief in their ability to manage learning tasks, has been shown to foster adaptive emotional functioning, promoting positive emotions and protecting against negative ones. However, the extent to which this protective role of ASE might vary based on socioeconomic status (SES) or immigrant background remains underexplored. This study examined whether the relationship between ASE and emotional well-being, measured through positive and negative affect, differs according to students' SES and immigrant background. Data were drawn from a nationally representative sample of 26,564 10th-grade students attending Italian high schools. ASE, positive affect, and negative affect were assessed using already validated self-report instruments. A Multigroup Structural Equation Modeling approach was applied to test the moderating roles of SES (low, middle, high) and immigrant status (native, first-generation, second-generation immigrants). Results showed that ASE significantly predicted higher positive affect (β = 0.34, p < .001) and lower negative affect (β = −0.17, p < .001) across the entire sample. However, no significant moderation effects were found: the strength of these associations did not vary across SES or immigrant background. These findings underscore the robustness of ASE as a protective factor for emotional well-being, even among students facing socio-economic disadvantages. The current results highlight the importance of school-based interventions aimed at fostering students’ self-efficacy beliefs, which may serve as a key factor for promoting emotional resilience across diverse adolescent populations.