It is widely recognized that students encounter difficulties with proof across all grades and beyond, yet standardized instruments related specifically to students' perceived self-efficacy for mathematical proof have not been readily available. The purpose of this study was to develop and investigate preliminary validity evidence for a new instrument for measuring self-efficacy for mathematical proof that can be of importance to the field. The new Perceived Self-Efficacy for Proof (PSEP) questionnaire is a self-administered, 8-item questionnaire that quantifies experimentation, conjecturing, inductive reasoning, justification, and validation. To validate the PSEP, two studies with 260 eleventh grade students--recruited from three Dinaledi schools in EThekwini metropolitan area, South Africa--were conducted. In Study 1 (n=128), face and content validity were evaluated, and an exploratory factor analysis (EFA) was performed. In Study 2 (n=132), a confirmatory factor analysis (CFA) was conducted and external validity was investigated. In both samples, the PSEP was found to possess good internal consistency reliability with relatively high factor loadings on a single component. Although the findings in this report represent preliminary validation evidence, it can be concluded that the PSEP is a valid, reliable and sensitive measure of 11th grade students' perceptions of their ability to construct a proof and may serve as a meaningful outcome in mathematical proof research and classroom proof education.