In accordance with a conceptual model of self-regulated learning (SRL), this paper seeks to base on the four facets of SRL (Self-beliefs, Value and affection, Prior knowledge and Perseverance) in mathematics for OECD’s Programme for International Student Assessment 2012 Study to uncover the underlying mediational mechanisms explaining the effect of economics, social and cultural status (ESCS) on mathematics literacy performance of 15-year-old students in Macao. The SRL mediational effects at the “between-school” and “between-student within-school” levels are analyzed. Research results show that there are four salient SRL variables (i.e. mathematics self-efficacy, mathematics intrinsic motivation, familiarity with mathematics concepts and mathematics work ethics) are able to mediate the “between-student within-school” effect of ESCS on student mathematics literacy performance. Amongst these four there is one variable, namely mathematics self-efficacy able to mediate fully the “between-school” effect of ESCS on student mathematics literacy performance. The research implication clear: By devising mathematics education programs with a bearing on the four facets of SRL in mathematics and due attention paid to the peer effects in mathematics group activities teachers can help raise student mathematics literacy performance across ESCS levels, and simultaneously narrow the ESCS gap in mathematics literacy performance. The significance of this study is that the ESCS gap in mathematics literacy performance is no longer a thorny issue that cannot be curbed through student’s regulation of his/her cognition, motivation, behavior and context. The findings inform policies regarding closing of the ESCS gap in mathematics literacy performance favoring students of the higher ESCS family in Macao.