This study examined whether the teacher-student relationship (TSR) served as a protective factor for students from families of lower socioeconomic status (SES). It was based on data from a standard mathematics assessment and survey using student and teacher questionnaires that were developed by the Collaborative Innovation Center of Assessment toward Basic Education Quality (CICA-BEQ) in China in 2016, which included 8707 fourth-grade Chinese students nested within 164 classes. We used multilevel structural equation models (MSEM) to investigate the mediating role of self-efficacy in mathematics in the relationship between SES and mathematics achievement and the moderating role of TSR in the direct and indirect relationship between SES and mathematics achievement at both the student-level and the class-level. The results suggested that the effect of SES on mathematics achievement was mediated by academic self-efficacy in mathematics both at the student-level and the class-level. The results also demonstrated a significant interaction between TSR and SES for self-efficacy both at the student-level and the class-level. Additionally, statistics indicated that TSR moderated the indirect relationship between SES and achievement via academic self-efficacy in mathematics.