The use of sport as a developmental tool for youth has been widely studied. However, one important segment of the population that has been largely overlooked in this work, likely due to its restrictive and hard to access nature, is youth from juvenile detention centers. Incarcerated youth represent at least 1% of all children in the United States who are faced with a complex set of psychological, physical, and social needs. In recent years, the rehabilitative role of sport within prison has been explored; however, limited research in this area exists. One critical line of investigation is to explore programs leaders’ experiences leading sport-based programs in the prison setting in order to inform how to tailor instructor training programs and inevitability foster better program quality and youth outcomes. Therefore, this study examined four graduate students’ self-efficacy beliefs for leading a leadership and life skills sports program within a youth prison. Data included weekly voice reflections and periodic interviews across a two-year program span. Deductive analyses indicated participants’ beliefs were influenced by Bandura’s (1977) four sources of self-efficacy with corresponding subthemes describing their nerves, highs and lows, good days, growth overtime, shared identities, observations of prison staff, and support from others. The current study offers insight on how individuals perceive their competencies for leading a sport program within a highly volatile environment. Suggestions for enhancing self-efficacy beliefs in order to better foster positive developmental youth outcomes are discussed.