The negative consequences of unsustainable energy consumption have intensified the urgency to promote conservation behaviour at the individual level. While technological advances and policy interventions have been useful in shaping energy conservation behaviours, individual-level behaviours have emerged as a critical avenue for energy conservation. Drawing on the Values–Attitudes–Behaviour (VAB) framework, this study develops and tests a model explaining the role of self-efficacy and response efficacy in shaping energy conservation behaviour, with value for energy conservation and attitudes towards energy conservation serving as mediators. Data were collected from a sample of 504 energy users in South Africa and analysed using structural equation modelling. The findings revealed that response efficacy has a significant, positive influence on both the value of energy conservation and the attitude towards energy conservation. Self-efficacy, while predicting value for energy conservation, had no effect on attitude. The study also confirmed that values and attitudes influence energy conservation behaviour and that both have a positive mediating effect. The study contributes to the energy conservation literature by establishing the role of efficacy beliefs in influencing the value of energy conservation and highlighting the central role of values and attitudes in energy conservation. The study also provides policymakers with insights on how to promote energy conservation by leveraging efficacy beliefs.