Music performance anxiety (MPA) is one of the main problems experienced by music students. It manifests in affective, cognitive, somatic, and behavioral symptoms that can occur regardless of the quality of the musical performance. The aim of this study was to perform a regression analysis to determine the variables that contribute to the prediction of MPA in conservatory students. A total of 295 Spanish music students aged 15–68 years enrolled in Spanish conservatories completed a battery of questionnaires selected to collect information about demographic characteristics, musical training, learning processes, and health and psychological variables. Pearson’s correlations and ANOVA were calculated, and a regression analysis was done to predict the development of MPA. The results showed that MPA is largely predicted by health and psychological variables, including depression, fear of negative evaluation, social avoidance, poor achievement motivation, and use of substances to alleviate MPA. Age at first musical performance with an audience was the only musical training variable with sufficient strength to predict MPA (the older the participant, the greater the MPA). The article concludes with a discussion of the need to implement psychological and educational counseling in music education centers as well as specific training to increase the quality of the musical career and personal wellbeing of the students.