The objectives of this cross-sectional study were to: (i) determine whether there are differences in self-esteem and self-efficacy for healthy lifestyle choices between children living in food secure and food insecure households; and (ii) determine whether the association between household food insecurity (HFI), self-esteem and self-efficacy differs by gender. Survey responses of 5281 fifth-grade students (10 and 11 years of age) participating in the Canadian Children’s Lifestyle and School Performance Study II were analyzed using logistic and linear regression. HFI status was determined by the six-item short-form Household Food Security Survey Module (HFSSM). Students from food insecure households had significantly higher odds of low self-esteem, and significantly lower scores for global self-efficacy to make healthy choices, compared to students from food secure households. These associations were stronger for girls than for boys and appeared independent of parental educational attainment. Household income appeared to be the essential underlying determinant of the associations of food insecurity with self-esteem and self-efficacy. Upstream social policies such as improving the household income of low-income residents will reduce food insecurity and potentially improve self-esteem and self-efficacy for healthy choices among children. This may improve health and learning, and in the long term, job opportunities and household earnings.