The interplay between self-efficacy, test anxiety, and academic performance has attracted scholarly attention for many years. While test anxiety is one of the best-researched emotions, different theories emphasize varying processes and constructs when examining its interplay with predictors (e.g., self-efficacy) and outcomes (e.g., academic performance). However, the findings are somewhat difficult to compare because existing studies do not only differ with regard to the underlying theoretical framework, but also regarding the applied methodology and the study design. Accordingly, available research shows variability regarding the proposed structure of relationships, the assessment methods, and/or the coverage of anxiety manifestations. In response, this chapter introduces the two influential theories, namely, Control-Value Theory and the Transactional Model of Test Anxiety, which have guided research on the three key constructs in recent years. From an individualistic cultural scope, we review and cluster empirical findings, mainly from cross-sectional research from Western European and Anglo-American countries, with reference to theory and methodology. Taken together, it becomes apparent that for the emergence of test anxiety control-related variables play a crucial role, mainly in the form of situational appraisals such as perceived control and/or dispositional control in terms of self-efficacy. Especially the cognitive facets of test anxiety show negative relations with performance, while self-efficacy consistently displays positive associations. Findings are discussed with reference to the above-mentioned criteria.