Statistics anxiety is experienced by a large proportion of psychology students, even though conducting statistical analyses is a fundamental skill for students to acquire. The research on statistics anxiety has tended to explore either dispositional factors (e.g. personality) or situational factors (e.g. teacher effects). One potential predictor that has not yet been considered is statistical self-efficacy; the belief that one can successfully complete statistical tasks. The present study aims to clarify whether statistical self-efficacy is a predictor of any aspects of statistics anxiety in psychology students. In this study 100 undergraduate students (89% female identifying), in the second and third (final) year of a psychology degree in the UK, completed the Statistics Anxiety Rating Scale (STARS), the Statistics Self-efficacy scale (SSE), and a measure of trait anxiety. A hierarchical regression showed a significant negative relationship between statistical self-efficacy and all aspects of statistics anxiety, showing that students who are more confident in their statistical skills experience less statistics anxiety. Findings are discussed in relation to both understanding statistics anxiety and developing interventions to alleviate statistics anxiety, such as mentoring for students with diagnosed clinical anxiety conditions or interventions that aim to improve a student's self-efficacy.