Cultural intelligence measures an individual’s ability to succeed in a culturally unknown environment. Self-efficacy expresses self-confidence in one’s own ability to handle a situation. The two concepts are closely linked, as confirmed by a number of previous studies. Using the multivariate method PLS-SEM, the predictive effect of CQ on self-efficacy is investigated; compared to previous studies, the relationship causality is reversed. A sample of 190 university students was also tested for how this relationship is moderated by two categorical variables: work experience abroad and gender. The results showed that cultural intelligence is a predictor of intercultural self-efficacy in communication. Its impact on the endogenous variable (self-efficacy) is rather weak, but significantly strengthened by work experience abroad. Gender has no effect on this relationship.