In this study, we introduce the Conversation Progress Guide (CPG), a system designed for text-based conversational AI interactions that provides a visual interface to represent progress. Users often encounter failures when interacting with conversational AI, which can negatively affect their self-efficacy-an individual's belief in their capabilities, reducing their willingness to engage with these services. The CPG offers visual feedback on task progress, providing users with mastery experiences, a key source of self-efficacy. To evaluate the system's effectiveness, we conducted a user study assessing how the integration of the CPG influences user engagement and self-efficacy. Results demonstrate that users interacting with a conversational AI enhanced by the CPG showed significant improvements in self-efficacy measures compared to those using a conventional conversational AI.