A clear inverse relationship exists between efficacy and anxiety and anxiety and performance in mathematics. However, efficacy is domain- and task-specific, so the role that specific types of efficacy play in the anxiety-performance relationship is less clear. Emotional self-efficacy moderates this relationship in children, but research has not yet examined its role with math anxiety and performance in undergraduate students who have more developed emotional regulation. Further, understanding the role of self-efficacy for different tasks (i.e., efficacy for math versus for emotion regulation) is important to understanding math anxiety and how to intervene for math anxious individuals. Therefore, the purpose of the current study was to explore the moderating and/or mediating role of both math self-efficacy and emotional self-efficacy in undergraduate students using indirect effects analyses. One hundred and fifteen students at a mid-sized state university in the Midwest United States completed self-report measures of emotional self-efficacy, math self-efficacy, and math anxiety before completing a standardized measure of math performance. Results of indirect effects analyses determined that math self-efficacy had an indirect effect on the anxiety-performance relationship while emotional self-efficacy had neither indirect nor moderating effects on the math anxiety-performance relationship.