Anxiety and fear are unpleasant emotions commonly experienced in sport and performance settings. While fear usually has an apparent cause, the source of anxiety is comparatively vague and complex. Anxiety has cognitive and somatic components and can be either a trait or a state. To assess the different aspects of anxiety, a variety of psychometric scales have been developed in sport and performance domains. Besides efforts to quantify anxiety, a major focus in the anxiety-performance literature has been to explore the impact of anxiety on performance and why such effects occur. Anxiety-performance theories and models have increased the understanding of how anxiety affects performance and have helped to explain why anxiety is widely considered a negative emotion that individuals typically seek to avoid in performance settings. Nonetheless, individuals approach anxiety-inducing or fear-provoking situations in different ways. For example, high-risk sport research shows that individuals can actively approach fear-inducing environments in order to glean intra- and interpersonal regulatory benefits. Such individual differences are particularly relevant to sport and performance researchers and practitioners, as those who actively approach competition to enjoy the fear-inducing environment (i.e., the “risk”) are likely to have a performance advantage over those who compete while having to cope with their troublesome anxiety and fear. Future research would do well to: (1) examine the effects of anxiety on the processes that underpin performance rather than a sole focus on the performance outcomes, (2) test directly the different cognitive functions that are thought to be impaired when performing under anxiety, (3) unite the existing theories to understand a “whole picture” of how anxiety influences performance, and (4) explore the largely overlooked field of individual differences in the context of performance psychology.