Statistics anxiety is common among students of Psychology which has given rise to low performance of the students in Statistical courses. Students of Psychology experience statistics anxiety which is the feeling of worry whenever they encounter statistics. Low Self-efficacy is also considered to have impact on their performance in statistics. This study is aimed at investigating the impact of statistics anxiety, self-efficacy on statistical performance of psychology students in the Nigerian Universities. The study consisted of 230 Psychology undergraduate students from three Nigerian Universities including 108 males and 122 females and a mean age of 21.23 years. The Statistics Anxiety Rating Scale (STARS), General Self-efficacy Scale (GSS) and a Statistics Test was used to obtain the data for the study. The data was analyzed using Regression and Correlation analysis. The result revealed that Statistics anxiety and Self-efficacy impacted Statistics performance of psychology students, given statistical anxiety (â = -0.20, p<0.01) and self-efficacy (â = 0.78, t = 3.78, p<0.01) with R2=0.35. This study provided evidence to show the relationship between Statistics anxiety, Self-efficacy and Statistics performance. We recommend that teachers of statistics courses should help and build the students self-efficacy and reduce their anxiety toward statistics.