The present study focuses on exploring the role of self-efficacy between high-performance work system (HPWS) and learning orientation. Further, the role of learning orientation between HPWS and employee performance (EP) has also been evaluated. Additionally, the impact of HPWS on employee performance when moderated by self-efficacy and mediated by learning orientation has been studied. The model has been tested in the service sector (banking sector). The data obtained have been duly validated with the help of confirmatory factor analysis. Structural equation modeling has been used for hypotheses testing. The results indicate that self-efficacy moderates the relationship between the HPWS and learning orientation. In addition, learning orientation mediates the relationship between the HPWS and employee performance relationship. The results further reveal that the learning orientation mediates the interaction effect of HPWS and self-efficacy on employee performance (moderated mediation). Finally, the managerial implications, limitations and scope for future research have been discussed.