For many students, the start of a university course is a positive experience, as it is a challenge that involves academic commitment and the achievement of a university degree. However, for other students, access to university becomes a stressful experience that manifests itself in signs of anxiety. Previous studies have shown the influence of high levels of anxiety on the degree of academic engagement for good study performance, with positive or negative moderators such as psychological well-being or self-efficacy. The overall aim of this study is to analyse self-efficacy and psychological well-being as moderators between anxiety and academic engagement, as well as the relationships between the variables. In the present study, 751 first-year students of the Faculty of Education Sciences of the University of Granada (Spain), of whom 90.7% are women and 9.3% are men, all aged between 18 and 47 years old (M = 21.05, SD = 3.57), completed the Utrecht Work Engagement Scale-Student questionnaires (UWES-S), Maslach Burnout Inventory-Student Survey (MBI-SS), State–Trait Anxiety Inventory (STAI) and Psychological Well-being Scale. The correlations between scales were studied using Pearson’s correlation coefficient. To assess the moderating effect of self-efficacy and psychological well-being on the relationship between anxiety and academic engagement, structural equations were used with the maximum likelihood method. In relation to the analysis carried out, the findings show the importance of self-efficacy and psychological well-being as moderators between anxiety and academic engagement. Self-efficacy showed a moderating effect on the relationship between anxiety and academic engagement, so the interaction between anxiety and self-efficacy meant that in situations of high anxiety and high efficacy, academic engagement was virtually unaffected.