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Socio-emotional skills, vital for navigating life's challenges, significantly influence educational success and well-being. Thus, socio-economic disparities in these skills may contribute to broader inequalities in achievement. Despite their importance, research in certain contexts, like France, remains limited. Self-efficacy, a cornerstone of socio-emotional well-being, develops early and it is influenced by familial and contextual factors. The primary school years are central for self-efficacy development. During this period, socio-economic gaps in self-efficacy may emerge, influenced by family environments and experiences at school. Using data from the 2011 Panel of Pupils we find that French pupils have similar academic self-efficacy whatever their socio-economic background at the start of primary school. However, at the end of primary school, children coming from more disadvantaged socio-economic backgrounds exhibit lower academic self-efficacy as compared to more advantaged peers, and this socio-economic gap is particularly strong among girls. The findings of this work underscore the need for educational policies to focus on socio-emotional skills development alongside cognitive skills from an early age to reduce socio-economic inequalities.