This study examined the factorial structure of three related constructs, math self-concept, math self-efficacy, and math anxiety, across 41 countries. One factorial structure was achieved at both between- and within-country levels. Within-country variations of the self-constructs were also noted in relation to math performance: Self-concept showed the strongest correlations in some Western European countries, but it was self-efficacy that demonstrated the strongest correlations among Asian and Eastern European countries. Findings also indicate that students in some Asian countries have low math self-concept and math self-efficacy and high math anxiety despite high math performance, while students in some Western European countries have high math performance and low levels of math anxiety. Data tables and figures and appended. (Contains 6 tables and 3 figures.)