This research involves a conceptual investigation of teacher self-efficacy and its appraisal by focusing on how five pre-service secondary mathematics teachers make meaning of their experiences in the process of their development. Recognising methodological limitations of previous studies in the area, this one-year longitudinal study uses abduction and interpretative phenomenological analysis of qualitative data collected from participants’ written weekly reflections, planning documents, lesson observations and interviews. This research shows that teacher self-efficacy is a domain-specific, task-oriented aspect of a more general narrative self-schema—while driven by an agentic goal pursuit and based on cognitive processing of information from enactive, affective, vicarious and social experiences, the teacher self-efficacy appraisal process also attends to aspects of the individual’s past, present and future selves, all of which are incorporated in an ongoing transformation of self as a competent teacher in a narrative continuity. This means that teacher self-efficacy appraisal is much more closely connected to the development of professional identity than has been previously acknowledged. The study contributes to the existing field of teacher self-efficacy by going beyond the well-established four self-efficacy sources framework and extends our understanding of the complexity of the teacher self-efficacy concept and its development. Consequently, it proposes an iterative, narrative model of teacher self-efficacy development—one which is centred in the meaning-making process and which extends other models prevalent in the literature. The new way of conceptualising teacher self-efficacy in this study helps address the previously narrow treatment of teacher self-efficacy, helps explain the contradictions related to changes in teacher self-efficacy and its stability, and has significant implications for conceptualising and understanding teacher professional learning.