Background: Although mathematics anxiety and self-efficacy are relatively well-researched, there are several uninvestigated terrains. In particular, there is little research on how mathematics anxiety and mathematics self-efficacy are associated with deep (more comprehensive) and surface (more superficial) approaches to learning among STEM and social sciences students. The aim of the current work was to provide insights into this domain. Results: Bivariate correlation analysis revealed that mathematics anxiety had a very high negative correlation with mathematics self-efficacy. However, while mathematics anxiety correlated positively with surface approach to learning in the STEM student sample, this association was not statistically significant in the social sciences student sample. Controlled for age and gender, regression analysis showed that lower mathematics self-efficacy and female gender predicted higher mathematics anxiety, while only mathematics self-efficacy predicted mathematics anxiety in the social sciences student sample. Interestingly, approaches to learning were not statistically significant predictors in multivariate analyses when mathematics self-efficacy was included. Conclusions: The results suggest that mathematics self-efficacy plays a large role in mathematics anxiety. Therefore, one potential takeaway from the results of the current study is that perhaps improving students' mathematics self-efficacy could also be helpful in reducing mathematics anxiety. Since the current study was cross-sectional, it could also be that reducing students' mathematics anxiety could be helpful in boosting their mathematics self-efficacy. Future studies should aim to clarify the causal link in this relationship.