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Statistics has played an increasingly important role in applied linguistics research. However, little research has been available that sheds light on statistical literacy among early‐career researchers of applied linguistics. The study reported in this article surveyed statistical literacy, attitudes toward statistics, and statistics self‐efficacy among Chinese applied linguistics research students and further examined the inter‐variable relationships. Based on analyses of the cross‐sectional survey of 211 master's students, we found that: (1) the students' overall statistical literacy was not satisfying; (2) although they thought positively of statistics, they were not particularly confident with statistics; (3) the three experience‐related variables—the number of statistics courses taken, quantitative research orientation, and self‐training—were important predictors of statistical literacy, attitudes toward statistics, and statistics self‐efficacy; and (4) statistics self‐efficacy seemed to mediate the relationship between attitudes toward statistics and statistical literacy. We discussed these findings in relation to improving statistics courses in applied linguistics program in China and to statistics learning and teaching. [ABSTRACT FROM AUTHOR]