Applied linguistics has recently seen a surge in research and methodological approaches to do stronger studies. One important factor affecting such a new movement is the researchers' individual differences in shaping their research repertoire. Therefore, this study, which employs a path-analytic approach, investigates the interrelationship between three significant individual factors in the EFL (English as a Foreign Language) context: research self-efficacy, anxiety, and motivation. This nationwide survey included 561 male and female Iranian MA students studying TEFL (Teaching English as a Foreign Language). The researchers administered three adopted instruments, namely the research motivation scale, the research anxiety scale, and the research self-efficacy scale. The path-analytic findings revealed such interrelationships among the three factors. In particular, the findings indicated that there is a negative relationship between research anxiety and motivation to conduct research. In our study, however, the relationship between research self-efficacy and motivation is positive. These evidence-based findings can help policymakers shape an evidence-based research policy. Recommendations and implications of the results for policymakers, research methodologists, research instructors, and MA students are discussed.