The present investigation takes as an intention to analyze the mathematical self-efficacy and its relation with the mathematical anxiety, the anxiety before evaluations and the academic performance in pre-university students who aspire to study engineering career in a public university of Peru. The sample had 61 pre university students candidates to the engineering careers (28 men (45.9%) and 33 women (54.1%)) between 15 and 26 years old (Mage = 17.82, SD = 1.76). The results showed, that in the women major anxiety level exists before mathematical examinations. It was observed in the regressions analysis that it was confirmed that the mathematical self-efficacy predicts negatively to the anxiety before the examinations and before the study of the mathematics; and he predicts positively to the academic performance. Then the regressions analysis demonstrated that the anxiety before the mathematics examinations is decisive to predict negatively the academic performance.