Math-anxious people consistently underperform in math. The most widely accepted explanation for "why" this underperformance occurs is that math-anxious people experience heightened anxiety when faced with math, and this in-the-moment anxiety interferes with performance. Surprisingly, this explanation has not been tested directly. Here, using both self-report and physiological indices of anxiety, we directly test how much in-the-moment anxiety explains math-anxious underperformance. Results indicate that in-the-moment anxiety indeed explains why math-anxious people underperform--but only partially, suggesting a need to seriously consider alternative mechanisms. Results also showed that while some highly math-anxious individuals--those with high levels of heart rate variability--experienced less in-the-moment anxiety, they nevertheless performed no better at math. For these individuals, math-anxious underperformance must occur for reasons unrelated to in-the-moment anxiety. More broadly, our findings point to substantial individual heterogeneity in the mechanisms underlying math-anxious underperformance. Accounting for this mechanistic heterogeneity may prove vital for optimally boosting math performance in math-anxious individuals.