Through studying the examination process, this study explored the influence of anticipatory anxiety in the pre-exam phase and confrontation anxiety in the exam phase on under-performance in exams. Under-performance is regarded as the degree of test scores obtained that are below normal baseline, as measured by the differences between formal and simulated College Entrance Examination scores in this study. A total of 459 third year high school students completed the Exam Preparation Anxiety Scale one month before the College Entrance Exam and the On-exam Anxiety Scale immediately after the exam. The findings revealed that pre-exam emotionality and pre-exam worry directly increased confrontation anxiety. Confrontation anxiety directly increased test score under-performance; however, pre-exam worry directly decreased test score under-performance. Further analyses were conducted between test score under-performance of each participant and test anxiety. The test score under-performance of Chinese language was negatively correlated with pre-exam emotionality and pre-exam worry, while that of Math was positively correlated with confrontation anxiety. Furthermore, the fitness between the “Test Anxiety and Test Score Under-Performance Model” and observed data was satisfactory. Implications for educational guidance and future studies are discussed.