Entrepreneurial self-efficacy has been widely recognized as prominent in entrepreneurship, which can promote entrepreneurial intention, entrepreneurial attitude, and business creation. This paper aims at investigating the extent and relationship of entrepreneurial self-efficacy, entrepreneurial intention, entrepreneurial attitude, and business creation among graduates in Malaysia, as well as examine the serial mediators of entrepreneurial intention and environmental factors in linking this relationship. This present study used a quantitative approach with a self-administered survey directed at university students in Malaysia. A total of 282 public university graduates in the Klang Valley completed this survey, and we further analysed the data undergoing covariance-based structural equation modelling (SEM). The findings indicate that entrepreneurial self-efficacy has a robust effect on entrepreneurial intention, entrepreneurial attitude, and business creation among university graduates in Malaysia. In addition, results indicated that entrepreneurial intention and environmental factors completely mediate the serial mediation of entrepreneurial self-efficacy and business creation, while these two mediators partially mediate the link between entrepreneurial self-efficacy and entrepreneurial attitude among graduates in Malaysia.