Social cognitive theory suggests students with low mathematics self-concept and low mathematics self-efficacy often display high mathematics anxiety. A better understanding of the antecedents of mathematics anxiety could lead to more effective interventions. However, findings from empirical research examining mathematics self-concept and self-efficacy as related to mathematics anxiety are inconsistent, perhaps due to overlapping definitions and operationalization. We investigated the relations of mathematics anxiety, self-concept, and self-efficacy using multidimensional scaling. Attention was given to the relationships across varying levels of specificity of self-efficacy (e.g., course, task, and problem). Participants were undergraduate students in an introductory quantitative reasoning course (N = 457). We found that mathematics self-efficacy occupied a distinct space, but there is considerable overlap in the areas of mathematics anxiety and self-concept. This study contributes to the literature on how these constructs are defined operationally and provides guidance on the use of measures for future studies on the antecedents of mathematics anxiety.