A goal for multi-task learning from a multi-objective optimization perspective is to find the Pareto solutions that are not dominated by others. In this paper, we provide some insights on understanding the trade-off between Pareto efficiency and generalization, as a result of parameterization in deep learning: as a multi-objective optimization problem, enough parameterization is needed for handling task conflicts in a constrained solution space; however, from a multi-task generalization perspective, over-parameterization undermines the benefit of learning a shared representation which helps harder tasks or tasks with limited training examples. A delicate balance between multi-task generalization and multi-objective optimization is therefore needed for finding a better trade-off between efficiency and generalization. To this end, we propose a method of under-parameterized self-auxiliaries for multi-task models to achieve the best of both worlds. It is model-agnostic, task-agnostic and works with other multi-task learning algorithms. Empirical results show our method improves Pareto efficiency over existing popular algorithms on several multi-task applications.