Background: Many studies (especially cross-sectional ones) have shown significant links between two of these three constructs-achievement, self-concept and anxiety. Objectives: Unlike past longitudinal studies that examined only two of these three constructs, this study examines all three, grounded in self-determination theory, control-value theory and transactional theory of anxiety. Methods: Chinese secondary school students (N = 823) completed questionnaires across three time points covering one school year, and we collected data on their mathematics and second language (L2) English test scores. Results: Cross-lagged panel models showed equal effect sizes in both pairs of time periods (T1-T2 and T2-T3). In both mathematics and L2 English, (a) achievement, self-concept and anxiety all showed moderate autoregression effects and hence, relative stability, (b) achievement and self-concept showed reciprocal positive effects and (c) self-concept negatively predicted subsequent anxiety. In mathematics but not L2 English, anxiety negatively predicted self-concept, and achievement negatively predicted anxiety, showing domain differences. Self-concept mediated achievement's negative effect on anxiety only in L2 English. Conclusions: Distinguishing within domain and cross domain effects of achievement, self-concept, and anxiety in mathematics and L2 English deepen our understanding of the relationships among these three constructs.