I believe confidence comes from overcoming challenges. I developed this as a core belief while training in and teaching jujitsu. I noticed a lot of new students came seeking to learn jujitsu, but couldn't perform techniques right away and quit within a few weeks. They were embarrassed by their perceived failure. Some, however, stuck with it.
As a teacher, I was especially fascinated with the individuals who were not confident or natural at jujitsu in the beginning, but they kept on trying. Overtime, you'd see them get a technique right once, then 10 percent of the time, then half of the time, then 80 percent of the time. What I witnessed more than their ability to "kick butt" was their emotional ability to overcome failure.