Math anxiety has significant implications for math achievement and math-related career paths. Previous research on antecedents of math anxiety primarily focused on individual factors, while the role of the contextual effect of school has received limited attention. This study sought to address this gap by examining the effect of school-average achievement on math anxiety while considering the mediating role of math self-concept and the moderating role of perceived control. The sample consisted of 4,978 fifteen-year-old students from the USA (49.3% Female). The results of the multilevel analysis revealed that school-average achievement positively predicted math anxiety, even after controlling for individual student achievement, SES, and gender. The results also showed that math self-concept mediated the relationship between school-average achievement and math anxiety. Furthermore, perceived control moderated the effect of school-average achievement on math anxiety. These findings shed light on the complex dynamics between school context, individual factors, and math anxiety.