We study the role of first- and second-order beliefs in explaining the gender competition gap. We collect data on the performance and competitiveness of men and women in all the unique tasks used in the literature. First, we note that the size of the competition gap depends on the nature of the task, with stereotypical male tasks displaying stronger competition gaps. Next, through an online experiment, we elicit beliefs about the gender performance gap in these tasks. Here, we document sizable gender differences in beliefs. Both genders hold a first-order belief that their gender outperforms the other, yet they both believe that others think men outperform women. Moreover, while actual gender performance differences do not explain the variation in competitiveness, first- and second-order beliefs about these differences strongly correlate with the gender competition gap. Lastly, in a lab experiment, we inform the participants what other people think about the gender-performance gap in a novel task and explore the causal link between second-order beliefs and the gender competition gap.