Several studies consider statistics anxiety as being conceptually different from mathematics anxiety. Of course, statistics uses basic mathematical concepts and calculations but its learning contents differ from mathematics in various aspects. The aim of the current work was to shed light on the relationship between mathematics anxiety and statistics anxiety, and their relationship to performance in a statistics examination. The participants were 138 psychology students enrolled in an undergraduate introductory statistics course. Results showed that mathematics anxiety is the best predictor of statistics anxiety that has a role as mediator among mathematics anxiety and performance. The results are important for learners as well as for instructors.