This qualitative case study explored the experiences of Historically Black College or University (HBCU) students taking online courses during the initial stages of the COVID-19 pandemic. The purpose of this study was to better understand students' perceptions of the influence of the four sources of academic self-efficacy on their academic performance during this period of exclusive online learning. Participants (n = 13) were female students enrolled full-time in an undergraduate degree program at a small HBCU in the southeastern United States. All participants confirmed that they had been taking courses exclusively online due to COVID restrictions in 2020, with no in-person courses for at least six months prior to data collection. Four themes emerged: Mastery Experiences for online students requires self-regulation and independent learning skills with dynamic instruction and constructive feedback, effective Vicarious Experiences were student-directed extracurricular multi-modality interactions with peers, effective Verbal Persuasion for online students was the rapport with instructors, Physiological State for online students was their ability to manage competing demands and distractions. Each theme provided insights for college administration, faculty, and students into developing strategies for enhancing the online learning experience for undergraduate college students by intentionally informing their sense of academic self-efficacy which is strongly related to academic performance in the online classroom.