Math self-efficacy (SE) is assumed to build on an individual’s earlier experiences in comparable situations (i.e., sources of SE) and is shown to correlate with math skills; however, less is known about their dynamic relationship over time. This study used growth mixture modeling to examine changes in math SE over a year in primary school students (N = 1,032, Grade Levels 2–4) and the relationships of changes in math skills and sources of math SE with the change trajectories in math SE. Four trajectories representing varying patterns of change in math SE were observed. A trajectory with high and stable math SE was characterized by more positive experiences of sources of SE and faster development of math skills than the other trajectories. By contrast, a trajectory with decreasing math SE was characterized by decreasing mastery experiences, increasing anxiety, and slower math skill development compared to the high and stable trajectory. A trajectory with low and stable math SE was characterized by decreasing verbal persuasion and vicarious experiences and by relatively slow math skill development. The findings provide evidence of the dynamic nature of math SE related to co-occurring changes in math skills and math learning experiences. Our results emphasize the importance of monitoring children’s learning experiences in math, and their beliefs about their capabilities in math together with their math skill development.