The present study investigated the self-regulated learning strategies adopted by EFL learners, their levels of cognitive test anxiety, and the potential correlations between self-regulated learning and cognitive test anxiety. The study also examined whether gender and level of language proficiency had a significant effect on self-regulated learning and cognitive test anxiety. A correlational survey design was employed to investigate EFL learners and cross-sectional data were collected through an online questionnaire. Data analysis of 269 undergraduate students revealed that gender consistently emerged as a significant variable. Notably, female students exhibited higher mean scores in both self-regulated learning and cognitive test anxiety. Furthermore, the results consistently found a correlation between self-regulated learning and cognitive test anxiety, with self-regulated learning effectively predicting cognitive test anxiety. Specifically, the predictive power of self-regulated learning for cognitive test anxiety was found to be statistically significant only within the group of students at A2 language level.