In this study, we explore how first-generation status and type of research experience are associated with undergraduate students’ research self-efficacy and research outcome expectancy during their early research experiences using the framework of social cognitive career theory. Third- and fourth-year undergraduates (n = 242, 45% first-generation) at an urban public research university in the southern United States completed the Research Self-Efficacy Scale (RSES) and the Research Outcome Expectancy Questionnaire (ROEQ). Structural equation modeling results indicated that participation in mentored research activities outside of class was positively related to student research self-efficacy and research outcome expectations. First-generation status was not significantly related to research self-efficacy or research outcome expectations. High research self-efficacy was related to higher research outcome expectancy for all RSES subscales. For all students, participating in mentored research experiences beyond in-class research assignments was predictive of higher research self-efficacy and outcome expectancy, with higher research self-efficacy acting as a mediator between mentored research experiences and research outcome expectancy. Implications for research and practice are discussed.