Students who suffer from test anxiety go through a stressful and unpleasant experience that could harm their physical and mental health long term. This study examines the prevalence of test anxiety in Malaysia and investigates the association of test anxiety with socio-demographic factors. A cross-sectional survey comprising demographic data and the FRIEDBEN Test Anxiety Scale (FTAS) questionnaires were used. Of the 371 students who responded, 46% of the students reported a low level of test anxiety, almost 20% a high level of test anxiety, and 34% a medium level of test anxiety. Further analyses suggest that test anxiety is significantly predicted by factors such as gender and ethnicity. These findings can help the education system including the Ministry of Education, schools, teachers, and parents to better understand the scope of the problem and the groups of students who are most affected. Potential policy implications as well as possible interventions to help students are discussed.