Socio-emotional skills, vital for navigating life's challenges, significantly influence educational success and well-being. Thus, socio-economic disparities in these skills may contribute to broader inequalities in achievement. Despite their importance, research in certain contexts, like France, remains limited. Self-efficacy, a cornerstone of socio-emotional well-being, develops early and it is influenced by familial and contextual factors. The primary school years are central for self-efficacy development. During this period, socio-economic gaps in self-efficacy may emerge, influenced by family environments and experiences at school. Using data from the 2011 Panel of Pupils we find that French pupils have similar academic selfefficacy whatever their socio-economic background at the start of primary school. However, at the end of primary school, children coming from more disadvantaged socio-economic backgrounds exhibit lower academic self-efficacy as compared to more advantaged peers, and this socio-economic gap is particularly strong among girls. The findings of this work underscore the need for educational policies to focus on socio-emotional skills development alongside cognitive skills from an early age to reduce socio-economic inequalities.