In many social science majors, e.g., psychology, students report high levels of statistics anxiety. However, these majors are often chosen by students who are less prone to mathematics and who might have experienced difficulties and unpleasant feelings in their mathematics courses at school. The present study investigates whether statistics anxiety is a genuine form of anxiety that impairs students' achievements or whether learners mainly transfer previous experiences in mathematics and their anxiety in mathematics to statistics. The relationship between mathematics anxiety and statistics anxiety, their relationship to learning behaviors and to performance in a statistics examination were investigated in a sample of 225 undergraduate psychology students (164 women, 61 men). Data were recorded at three points in time: At the beginning of term students' mathematics anxiety, general proneness to anxiety, school grades, and demographic data were assessed; 2 weeks before the end of term, they completed questionnaires on statistics anxiety and their learning behaviors. At the end of term, examination scores were recorded. Mathematics anxiety and statistics anxiety correlated highly but the comparison of different structural equation models showed that they had genuine and even antagonistic contributions to learning behaviors and performance in the examination. Surprisingly, mathematics anxiety was positively related to performance. It might be that students realized over the course of their first term that knowledge and skills in higher secondary education mathematics are not sufficient to be successful in statistics. Part of mathematics anxiety may then have strengthened positive extrinsic effort motivation by the intention to avoid failure and may have led to higher effort for the exam preparation. However, via statistics anxiety mathematics anxiety also had a negative contribution to performance. Statistics anxiety led to higher procrastination in the structural equation model and, therefore, contributed indirectly and negatively to performance. Furthermore, it had a direct negative impact on performance (probably via increased tension and worry in the exam). The results of the study speak for shared but also unique components of statistics anxiety and mathematics anxiety. They are also important for instruction and give recommendations to learners as well as to instructors.