In recent years, with the incentive of competition, various industries have introduced many exams to assess and screen the overall level of personnel. Faced with exams, especially those that carry significant weight, most students experience some degree of anxiety. Moderate exam anxiety can stimulate the excitement of the cerebral cortex, which has a positive effect on active thinking, concentration, information extraction, and so on. However, excessive exam anxiety can cause cognitive impairments for students, such as blocked thinking, memory lapses, restless emotions, low learning efficiency, and other adverse reactions. This can also affect students' exam performance and even their mental and physical health, keeping them in a state of anxiety for a long time. This study aimed to investigate the relationship between exam anxiety, academic performance, and the moderating effect of peer support on student learning and development among 9th grade students in Shenzhen, China. The study used a questionnaire survey to collect data from 300 valid respondents and conducted data analysis. The results showed that: There was a significant gender difference in academic performance, with 9th grade male students performing better than female students; The greater the exam anxiety, the lower the academic performance of 9th grade students; Peer support can positively predict the academic performance of 9th grade students.