Background: Statistics anxiety is common among social science students. Despite much evidence examining statistics anxiety and test performance, little research has explored the role of student self-prediction on test performance in a higher education setting. Objective: The purpose of this study was to investigate the relationship between statistics anxiety and both students’ self-prediction of their future exam performance and actual test performance on a formal statistics assessment at undergraduate level in psychology students in the UK. Method: Using a cross-sectional design, two hundred and two students were required to complete Statistics Anxiety Rating Scales, the Mathematical Prerequisites for Psychometrics Scale, and provided self-predicted test performance scores. Test performance data was obtained from a formal statistics assessment. Results: As predicted, we demonstrated statistics test anxiety to be negatively associated with self-predicted performance. Additionally, we found statistics anxiety was positively associated with test performance. Conclusion: The findings highlight the complex relationship between statistics anxiety and test performance, suggesting there may be an optimal level of anxiety for performance in statistics assessments. Implications: The results we report have implications for psychology research methods and statistics instructors who may wish to incorporate the findings into statistics instruction modules in order to assuage high levels of statistics anxiety and foster student well-being.