The aim of this study is determining academic self-efficacy beliefs of students pursuing graduate study and revealing their needs and shortcomings from the graduate education. Case study method was used and data were collected by a form developed by the researchers from 92 students receiving masters and Ph.D.'s in different programs. As a result of data analysis, it was determined that 35% of participants were sufficient in understanding the studies written in English while 29% of them were competent in benefitting these articles. Besides, 71% of participants stated that they were sufficient in preparing assignments, presentations, projects; 66% of them were in obtaining and reviewing the literature, 57% of them were in using the databases. While the ratio of participants feeling themselves sufficient in determining thesis subject was 28%, this ratio was 35% in writing thesis or proposal. Finally, while 38% of participants stressed that they were sufficient in analysing, understanding and interpreting the results of the qualitative findings while this ratio was 37% for quantitative data. At the end of the study, implications for graduate students and higher education institutions are discussed. [Paper presented at WCLTA 2013.]