Yes, they are more efficient. Depending on your specific hardware and driver, massively so.
The basic idea is that you want to minimize state changes. Changing the active texture is a state change. In many cases the GPU can only handle rendering with a single state at at time. If you think of all the dozens/hundreds/thousands of shader cores that a GPU can have, if you're rendering only one single sprite at a time you're massively under-utilizing the hardware. By using a texture atlas / sprite sheet (and batching every other piece of state you can) you will allow the GPU to work on drawing many sprites simultaneously.
For the modern gaming world, the actual draw speed is probably less important than the power consumption of your game. If you're being inefficient then the CPU/GPU have to remain in their active power-sucking states for longer, greatly reducing battery life. If you're efficient and "race to sleep" (do all of your work as fast as you possibly can so that the device can go back into its low-power state until its time to draw the next frame) then mobile users (phones, tablets, laptop PCs, etc.) will be much happier. The only two real states you have are "everything is idle and low-power" or "something is running and we're high-power." Modern devices have some intermediate states and additional complexities but you can and should ignore those details: either do everything the absolute most efficient way you can manage or make sure your game is completely idle (no polling a timer or anything; make a call to explicitly wait for the next vsync event and let the OS put your game to sleep until it happens).
There's nothing quite so "amusing" as firing up a fancy 3D game on your phone and being able to play for several hours and then trying some silly little 2D game that drains your battery in 40 minutes.
And again, even as a PC game developer, laptops and convertibles are hugely popular and battery powered so being a PC developer doesn't excuse you from being considerate about users' battery lifetime.
That said, while I deeply disagree with @wondra that the efficiency isn't important, it is good advice if these are your first game development experiments to not worry about it just yet. But keep texture atlases high on your list of things to learn how to make and use after you get all the basics down.