According to Bandura's social cognitive theory, a student's self-efficacy influences his or her academic and career decisions, and his or her performance outcomes; as such, a student's self-efficacy changes with time in response to the student's experiences. Self-efficacy may also vary by academic domain. Differences in STEM self-efficacy have often been reported between men and women. The purpose of this study is to explore the evolution of domain-specific STEM self-efficacy in students in gateway physics and mathematics courses and how academic feedback influences the evolution of these differences with time. Further, this study explored whether gender differences in self-efficacy are consistent across STEM domains and how these differences change in response to academic feedback. Self-efficacy in multiple academic domains (current mathematics/science class, other STEM classes, and intended profession) was assessed at multiple time points with subscales adapted from the Motivated Strategies for Learning Questionnaire. Linear mixed effects modeling was used to understand how academic feedback provided by test scores influenced changes in self-efficacy. Students in all classes expressed different levels of self-efficacy toward different domains with the lowest self-efficacy toward their current class and the highest toward their intended profession. Only the current math/science class self-efficacy of men and women differed significantly, with women expressing lower self-efficacy. The differences in current class self-efficacy were evident very early in the class before substantive class feedback was received. The evolution of self-efficacy within the class and between classes was the same for men and women.