This study investigated counselor self-efficacy and anxiety among psychology students at different levels of training. All participants, including undergraduate and graduate students, completed a set of questionnaires covering topics ranging from clinical experience to feelings encountered during counseling sessions (for example, anxiety and confidence). We compared students across various levels of training and computed a multivariate analysis of variance, with dependent variables measuring self-efficacy, self-esteem, life satisfaction, and general happiness. Results indicated curvilinear relationships across level of training for self-efficacy and anxiety about seeing clients. These findings, as well as possible theoretical underpinnings, have important implications for supervision and training.