The process of generating innovative ideas includes a number of complex tasks. Firms are increasingly turning to group project and teamwork structures to perform these tasks. Simply focusing on group members’ engagement is insufficient to account for the ability of the firm to face challenges and the need to coordinate the efforts of hundreds of workers. Thus, group efficacy is used to represent a group’s collective estimate of its own ability to perform a task objective. Based on multilevel theory, groups are inherently multilevel phenomena. Although the theoretical development of group efficacy has been discussed, few studies have used multilevel analyses to empirically test efficacy beliefs. This study integrates efficacy beliefs at the individual and group levels into a more comprehensive research framework. The findings show that, at the individual level, both learning orientation and affective commitment influence self-efficacy, and further impact knowledge sharing behavior. At the group level, this study confirms the mediation effects of entrepreneurial orientation on the relationship between group efficacy and innovativeness effectiveness. Training not only affects self-efficacy, but also moderates the relationship between learning orientation and self-efficacy. The findings also show that group knowledge sharing moderates the relationship between entrepreneurial orientation and innovation behavior.