Background: Anxiety is one of the most complex and the most studied constructs in psychology, and it is extremely frequent in high-level sportsmen and women. The main goal was to study the influence of sex, age, type of sport, sport modality, other professional occupation, and competitive level on the competitive anxiety symptoms and self-confidence of elite athletes. Methods: A descriptive cross-sectional study was carried out with Colombian elite athletes who were members of the “Support to the Excellence Coldeportes Athlete” program. The total population studied included 334 Colombian elite athletes: mean age 27.10 ± 6.57 years old with 13.66 ± 6.37 years practicing his/her sports modality. The precompetitive anxiety symptoms of the participants were assessed using the Competitive State Anxiety Inventory—2R (CSAI-2R). Results: Men showed higher levels of self-confidence than women. Younger athletes had a higher cognitive and somatic anxiety. The athletes of individual sports had a higher mean somatic anxiety than those of collective sports. The higher-level athletes had lower values of cognitive and somatic anxiety and higher levels of self-confidence. Finally, the values of anxiety symptoms positively correlated with each other, and negatively correlated with self-confidence. Conclusion: Individualised psychological intervention programs adapted to elite athletes are needed, considering the divergent results found in various variables of scientific interest.