Despite a well established body of international literature describing the effect of test anxiety on student performance in a range of assessments, there has been little work conducted on samples of students from the UK. The purpose of this exploratory study is two‐fold. First, to establish the relationship between test anxiety and assessment performance in a group of students in their final year of compulsory secondary schooling, in the politicised educational context of the UK. Second, to establish if this relationship is moderated by gender and socio‐economic background. Data were gathered on trait test anxiety, GSCE examination performance in Mathematics, English Language and Science, gender and socio‐economic background from 557 mixed ability Year 11 students drawn from three secondary schools in the UK. A hierarchical regression analysis was used to establish the moderating influence of gender and socio‐economic background. Results suggest a small, but significant inverse relationship between test anxiety scores and mean examination performance and that the cognitive component of test anxiety accounts for 7% of variance in examination performance. A differential test anxiety–assessment performance relationship was reported for socio‐economic background but not gender. Although the data reported for the test anxiety–assessment performance relationship are similar to those reported in numerous other studies, it is hypothesised that contextualised features associated with secondary education in the UK, particularly efforts to raise attainment, may have influenced these results.