The underrepresentation of women in physics has been well documented and a source of concern for both policy makers and educators. My dissertation focuses on understanding the role self-efficacy plays in retaining students, particularly women, in introductory physics. I use an explanatory mixed methods approach to first investigate quantitatively the influence of self-efficacy in predicting success and then to qualitatively explore the development of self-efficacy. In the initial quantitative studies, I explore the utility of self-efficacy in predicting the success of introductory physics students, both women and men. Results indicate that self-efficacy is a significant predictor of success for all students. I then disaggregate the data to examine how self-efficacy develops differently for women and men in the introductory physics course. Results show women rely on different sources of self-efficacy than do men, and that a particular instructional environment, Modeling Instruction, has a positive impact on these sources of self-efficacy. In the qualitative phase of the project, this dissertation focuses on the development of self-efficacy. Using the qualitative tool of microanalysis, I introduce a methodology for understanding how self-efficacy develops moment-by-moment using the lens of self-efficacy opportunities. I then use the characterizations of self-efficacy opportunities to focus on a particular course environment and to identify and describe a mechanism by which Modeling Instruction impacts student self-efficacy. Results indicate that the emphasizing the development and deployment of models affords opportunities to impact self-efficacy. The findings of this dissertation indicate that introducing key elements into the classroom, such as cooperative group work, model development and deployment, and interaction with the instructor, create a mechanism by which instructors can impact the self-efficacy of their students. Results from this study indicate that creating a model to impact the retention rates of women in physics should include attending to self-efficacy and designing activities in the classroom that create self-efficacy opportunities.