It is possible to consider happiness the goal of every human being. In addition to being one of the major topics of psychology, it may also be seen as the ultimate goal of positive psychology. This study, thus, seeks to answer the following questions: 1) Are there any significant differences between the variables of the study, namely happiness and self-efficacy in terms of gender and nationality? 2) Does the relationship between happiness and self-efficacy differ in terms of gender and nationality? The sample of the study consisted of university students in Egypt (n=294) and Lebanon (n=216) of both sexes from various majors, who responded to the Arabic Scale of Happiness, by Abdel-Khalek (2013), and the Self-efficacy Scale, by Haifaa Alansary and Abdel-Khalek (2012). Both scales enjoy good psychometric properties. The study revealed that Egyptian and Lebanese males attained a higher mean score compared to the females in both happiness and self-efficacy. All differences were statistically significant, except for the non-significant difference between the means of happiness in the Lebanese sample of both sexes. The Lebanese sample obtained significantly higher mean scores than did the Egyptian sample of both sexes in happiness and self-efficacy. The size-effect was large in happiness, but medium in self-efficacy. Statistically significant correlations were extracted between the two scales in the two countries. The findings of this study were explained in the light of theoretical frameworks, previous studies as well as the socio-economic circumstances of both samples. The study, therefore, recommends the development of programs that raise the levels of happiness and self-efficacy among university students, which are expected to improve the academic performance of students.