Under the background of ongoing global advances in innovation and entrepreneurship education, support for university students’ entrepreneurship has become a crucial force in fostering their entrepreneurial capabilities. Entrepreneurial self-efficacy serves as a key cognitive variable linking external university-based entrepreneurial support with the internal development of entrepreneurial skills. This study takes university students from China and Mongolia as research subjects and employs comparative analysis to explore differences in the entrepreneurial environments of the two countries, specifically variations in national- and institutional-level support for student entrepreneurship, disparities in cultivating entrepreneurial competencies, and the core mechanisms through which entrepreneurial self-efficacy operates. The findings indicate that differing educational systems and market development contexts between China and Mongolia have shaped distinct higher education models for nurturing students’ innovative spirit and implementing entrepreneurial support. These differences result in varied approaches to supporting student entrepreneurship, significantly influencing the development of entrepreneurial self-efficacy among students in both countries and, consequently, leading to multidimensional gaps in the cultivation of entrepreneurial abilities and related resources. Entrepreneurial self-efficacy effectively transforms and utilizes university entrepreneurial resources, thereby enhancing students’ entrepreneurial capabilities, though its impact varies across the educational environments of the two countries. Based on the strengths and weaknesses of each country’s educational practices, this study proposes optimization strategies, offering valuable insights for cross-border entrepreneurship education.