This study aimed to examine the effect of multiple domains of self-efficacy on the relationship between shyness and subjective well-being among Chinese adolescents. A sample of 763 Chinese adolescents (M = 14.77 years old, SD = 1.63; 55% boys) completed the Shyness Scale, the Social Self-Efficacy Questionnaire, the Regulatory Emotional Self-Efficacy Questionnaire, and the Subjective Well-Being Scale. Structural equation model analysis showed that both regulatory emotional self-efficacy and social self-efficacy partially mediated the relationship between shyness and subjective well-being. Moreover, shyness negatively influenced subjective well-being through the chain of regulatory emotional self-efficacy and social self-efficacy. Overall, the findings supported the multiple mediating roles of self-efficacy beliefs between shyness and subjective well-being, which enhanced our understanding of how self-efficacy beliefs impact shy youths’ subjective well-being in China. The theoretical and practical implications of these findings were discussed.