The stage of primary school is an important period for the development of students' academic self-efficacy. Previous studies of academic self-efficacy were mostly conducted from the perspective of its function and role, and the empirical research on the formation mechanism of academic self-efficacy was few. According to Bandura's self-efficacy theory, the effect factors of self-efficacy include individual success or failure experiences, individual emotion and physiological state. Among them, academic performance is the most direct factor affecting academic self-efficacy , and academic stress as a negative emotional experience will have a negative impact on academic self-efficacy. And, as a self-concept closely related to self-efficacy, self-esteem can also affect academic self-efficacy. In addition, there are gender differences in academic stress and self-esteem in primary school students. Therefore, the purpose of this study is to explore the impact of academic performance on academic self-efficacy in primary school students, as well as the chain mediating effect of academic stress and self-esteem, the moderating effect of gender. This study recruited 404 students (203 boys and 201 girls) from grade 4 to 6 in a primary school. The students' age were from 9 to 12 years, and average age was 10.14 (standard deviation was 1.32 years). All students filled out academic stress questionnaire, academic self-efficacy questionnaire and Rosenbers' self-esteem scale in a quiet classroom. We collected the academic performance of students from the nearest final examinations (Chinese, Math and English). SPSS 20.0 software and Amos 26.0 software were used for Common method biases analysis, correlation analysis, bootstrap mediating effect analysis and multiple group analysis. The results implicated that: (1) Primary school students' academic performance can positively predict academic self-efficacy. In other words, more academic performance of students can cultivate a higher level of academic self-efficacy. Thus, in primary school, we should help students to gain positive experience with high academic performance, which will effectively improve their academic self-efficacy. (2) In the relationship between academic performance and academic self-efficacy, academic stress and self-esteem played a role of chain mediated effect. Specifically, there were a negative mediated effect of academic stress, a positive mediated effect of self-esteem, and a chain mediated effect of self-esteem and academic stress. (3) There were gender differences in the chain mediating effect. In the girls group, there were a partial mediating effect and three mediating paths (the separate mediating effect of academic stress, the separate mediating effect of self-esteem and the chain mediating effect of academic stress and self-esteem); in the boys group, there were a complete mediating effect and two mediating paths (the separate mediating effect of self-esteem and the chain mediating effect of academic stress and self-esteem). This result suggested that we should pay attention to gender differences in the process of improving students' academic self-efficacy.