The study investigated the relationships among academic self-efficacy, cognitive engagement and academic achievement of senior secondary school students in Kaduna State, Nigeria. Seven objectives, research questions and null hypotheses guided the study. A correlational research design was adopted in this study. Multistage cluster and stratified random sampling techniques were used to select the sampled educational zones according to the existing four geographical boundaries of the State and data was collected from a total of three hundred and eighty (380) sampled participants from Senior Secondary students of Kaduna State. Four educational zones were selected from each stratum and Morgan Jinks Students Self-Efficiacy Scale (MJSES), Cognitive Engagement Scale (CES), and the students? academic achievement score were adopted to obtain the data for the study. The data collected was analyzed using Pearson Product Moment Correlation Coefficient and Multiple Regression Analysis of PASW version 24 and the decision to retain or reject the hypotheses was made at the 0.05 level of significance. Findings of the study showed that there was significant positive relationship between academic self-efficacy and cognitive engagement of Senior Secondary School students in Kaduna State ( r =0 .518, p =0 .000). There was significant positive relationships between academic self-efficacy and academic achievement Senior Secondary School students in Kaduna State (r = 0.564, p =0 .000).There was significant positive relationship between cognitive engagement and academic achievement of Senior Secondary School students in Kaduna State (r =0 .377, p = 0.000). It was also found that significant positive relationship existed between deep processing and academic achievement of Senior Secondary School students in Kaduna State (r =0 .454, p =0 .000). Based on these findings, it was recommended among others that teachers should formulate programme and activities that would develop and maintain self- efficacy among students so as to boost student?s cognitive engagement and interest in their studies. Students should be encouraged by their teachers and parents to be meaningfully engaged in learning activities through interactions with others and worthwhile tasks to achieve meaningful learning. They should device activities that involve active cognitive processes such as creating, problem-solving, reasoning, decision- making, and evaluation to enhance cognitive engagement, academic achievement and deep processing of information rather than shallow processing of information. Psychologist and counsellors should create awareness, educate, sensitize and encourage students to process information deeply which would help not only for the sake of writing and passing examinations but for long term memory retention.