Multidimensional Perceived Self-Efficacy Scale for Children has been developed as an important tool to measure Self-Efficacy in school contexts. The present study assesses the measurement invariance of the MSPSE across two samples of Italian and Colombian adolescents using Multi-sample Confirmatory Factor Analysis. Participants were Italian (N = 564) and Colombian (N = 645) students attending the 7th grade (age 12–13) drawn from a residential community near Rome and three Colombian cities: Medellin, Manizales and Santa Marta. Findings from gender invariance provide high support for full and partial invariance among Colombian and Italian adolescents respectively. Cross-national comparison showed partial scalar invariance between Italy and Colombia, with Italian students perceiving themselves as more efficacious on Academic, Social and Self-Regulatory dimensions. MSPSE’s structural validity has been confirmed, along with its three-factor-structure across gender, for the Italian and Colombian samples. The findings support the invariance and the validity of this scale to measure Self-Efficacy in school contexts from a cross-cultural perspective.