This study examined the relationship among supervisor support, scientific research efficacy and anxiety of graduate students in the Chinese context. A quantitative survey method was applied, and seven hypothesized relationships were tested with a sample of 1,095 graduate students from China. The results showed that instrumental and emotional support from supervisors were significantly and positively related to scientific research efficacy of graduate students, and negatively correlated with their anxiety. The scientific research efficacy was significantly and negatively associated with anxiety among graduate students, and mediated the relationships between supervisor support and anxiety. The present study provides valuable theoretical implications for enriching the analytical framework of anxiety, and has practical implications for intervention of the mental health of graduate students.