Background Numerous studies, most of them involving adolescents and adults, have evidenced a moderate negative relationship between math anxiety and math performance. There are, however, a limited number of studies that have addressed the mechanisms underlying this relation. Aims This study aimed to investigate the role of two possible mediational mechanisms between math anxiety and math performance. Specifically, we sought to test the simultaneous mediating role of working memory and math self‐concept. Sample A total of 167 children aged 8–12 years participated in this study. Methods Children completed a set of questionnaires used to assess math and trait anxiety, math self‐concept as well as measures of math fluency and math problem‐solving. Teachers were asked to rate each student's math achievement. As measures of working memory, two backward span tasks were administered to the children. Results A series of multiple mediation analyses were conducted. Results indicated that both mediators (working memory and math self‐concept) contributed to explaining the relationship between math anxiety and math achievement. Conclusions Results suggest that working memory and self‐concept could be worth considering when designing interventions aimed at helping students with math anxiety. Longitudinal designs could also be used to better understand the mediational mechanisms that may explain the relationship between math anxiety and math performance.