The goal of the paper is to investigate the relationship between concentration, competition and efficiency in the Baltic banking market. For the research purposes the authors use financial data of commercial banks operating in three Baltic countries extracted from BankScope database and statistics on structural indicators from the European Central Bank data warehouse. Period of seven years – from 2007 till 2013 – is analyzed. To check the consistency between concentration and competition measures, the authors perform a simple correlation analysis in SPSS environment. To determine the causal link between competition in the banking market and efficiency of banks, the express regression analysis is performed. Market concentration is proxied by Herfindahl-Hirschman Index (HHI). To measure competition in the banking sector, Lerner index is estimated for individual banks and aggregated into the mean value. Efficiency of banking sector is based on estimated efficiency scores of individual banks. In turn, efficiency of banks is calculated, applying Data Envelopment Analysis (DEA) in DEAFrontier software. The stated research hypotheses are rejected. There is no statistically significant relationship between concentration and competition in the Baltic banking market. Besides, there is no empirical evidence that competition level has an impact on overall efficiency of the banking sector.