Motivation plays a key role in the physical-sports field, in the control of disruptive states and in the mental image that people have of themselves. In view of the above, the present study reflects the objectives of identifying and establishing the relationship between sport motivation, anxiety, physical self-concept and social self-concept, broken down into (a) developing an explanatory model of sport motivation and its relationship with anxiety and social and physical self-concept and (b) contrasting the structural model by means of a multi-group analysis according to sex. To this end, a quantitative, non-experimental (ex post facto), comparative and cross-sectional study was carried out on a sample of 556 students (23.06 ± 6.23). The instruments used were an ad hoc questionnaire, the Spanish version of the Perceived Motivational Climate in Sport Questionnaire (PMCSQ-2), the Beck Anxiety Inventory (BAI) and the Self-Concept Form-5. The results show that the male sex orients sport motivation towards climate, obtaining higher levels of anxiety, however, the female sex, anxiety has a negative impact on the development of social self-concept. In conclusion, it can be affirmed that gender is a fundamental factor in the orientation of sport practice, as well as the development of anxiety and physical and social self-concept.