The first goal of this research is to explore the relationship between self-efficacy in exam preparation and taking and the outcomes of cognitive assessment of stress in an exam situation, whereby the influence of the variable assessed current stress level is kept under control. The second goal is to determine whether there are differences and which of them largely discriminate the students of private and state-owned faculties with respect to the studied variables. Three instruments were used. The outcomes of cognitive assessment of stress were measured by the Measure of Cognitive Assessment of Stress questionnaire. Self-efficacy in exam preparation and taking was measured by the Scale of Self-Efficacy in Exam Preparation and Taking. The assessed current level of stress in students was measured by the Inventory of Students’ Recent Life Experiences. The research included 272 students (153 female and 119 male). The most important finding of the research is that self-efficacy significantly correlates with several outcomes of cognitive assessment of stress, such as: threats, general controllability, personal control and stress level. The second important research finding is that students of private faculties largely perceive exam situation as a challenge, assessing that they have higher personal control and self-efficacy level in the process of exam preparation and taking.