Critical thinking is a key capability for academic experts and for developing one's expertise from the very beginning of studying at university. Self-efficacy beliefs and approaches to learning are important in this process, although their relationships with critical thinking are not clear. This study explores the relationship between critical thinking, approaches to learning and self-efficacy beliefs among Finnish first-year students in educational sciences (n = 92). The self-reported data were used to measure approaches to learning and self-efficacy beliefs, and performance-based assessment data of critical thinking skills were analysed by using both quantitative and qualitative procedures. The results showed that most of the new students applied the deep approach to learning and had high self-efficacy beliefs related to learning. However, there were great differences in the quality of their critical thinking. Three groups with remarkable differences in critical thinking skills were detected. There were no connections between critical thinking, approaches to learning and self-efficacy beliefs. The results imply that the development of critical thinking needs to be facilitated systematically during study at university.