Musical performance anxiety (MPA) occurs throughout musicians' careers. The existing literature on coping with MPA is underdeveloped in its understanding of how college musicians develop their own coping strategies. This article explores the ways in which MPA is self-managed by college musicians, drawing on qualitative data from the local context of Taiwan. A 'performance diary' for managing MPA was prepared and semi-structured interviews were carried out with 53 undergraduate students (from Year 1 to Year 4) from a university's music department. The findings show that college musicians have developed at least nine self-management strategies, which they implement throughout a specific timeline leading up to a performance, from 4 weeks before right up to the performance (concert, exam and recital) itself. These strategies are products of musicians' self-regulated learning process of developing their own expertise and building up their self-efficacy. The findings also reveal that providing information about psychological strategies in a performance diary could help musicians to become aware of MPA and develop their metacognition of coping strategies. Highlighting the importance of the specific time periods, types of performance and performance environments, this article has implications for college musicians, teachers and institutions that are looking to develop MPA-management strategies.