Achievement goal setting and self-efficacy are two critical variables influencing learning achievements. Many scholars have studied the relationship between two variables by correlation analysis, regression analysis or path analysis. These methods, however, neglect the measurement error at all, which are inconsistent with the reality. Through a questionnaire survey among 266 first-year academic engineering graduate students, this study aims to clarify the relations among achievement goal setting, self-efficacy (SE) and English learning achievement (ELA) of engineering graduate students. Integrating the advantages of conventional statistical methods, Structural Equation Model (SEM) not only takes the measurement error into consideration, but also could study the structures of constructs and the relations among them at same time. The result shows that: 1)Achievement approach goal has a direct positive influence on English learning achievement, mastery approach goal and performance avoidance goal having direct negative influence, and mastery avoidance goal hasn’t obvious influence on English learning achievement; 2) Mastery approach goal has the best impact on self-efficacy, while performance avoidance goal has the worst impact on self-efficacy; 3) Self-efficacy, a mediating variable between achievement goal setting and English learning achievement, could improve English learning achievement efficiently.