Infant temperamental characteristics have been found associated with decreasing parenting self-efficacy (PSE) during the first year after birth, which has been generally interpreted as a child effect on the parent. To test direction of effects, PSE was assessed during the third trimester of pregnancy and twice after birth together with perceived infant temperament in a group of first-time pregnant women (N = 616). Cross-lagged path analysis showed that PSE, even when assessed prior to birth, predicted characteristics of infant negative temperament. Infant negative temperamental characteristics were concurrently, but not prospectively, associated with decreased PSE. These findings indicate that perceptions of infant temperament may partly be shaped by parents’ self-perception, rather than the other way around.