Recently, ChatGPT has demonstrated remarkable performance in various downstream tasks such as open-domain question answering, machine translation, and code generation. As a general-purpose task solver, an intriguing inquiry arises: Does ChatGPT itself know that it does not know, without any access to internal states? In response to this query, we present an initial evaluation of ChatGPT for black-box calibration. We designed three types of proxy confidence, from three perspectives to assess its performance. Experiments are conducted on five datasets, spanning four tasks, and the results show that ChatGPT has a degree of capability for black-box calibration. Specifically, proxy confidence displayed a significantly positive Pearson correlation (95.16%) with accuracy in the TruthfulQA dataset, while revealing a negative correlation in the ModAr dataset. We delved deeper into ChatGPT’s black-box calibration ability by examining failure cases in the ModAr dataset. Our analysis revealed that ChatGPT’s tendency to exhibit overconfidence may stem from its reliance on semantic priors. Furthermore, we investigated why ChatGPT performs relatively well in TruthfulQA. The findings suggest that ChatGPT might implicitly acquire calibration skills during the reinforcement learning process, rather than relying solely on simplistic heuristics.