The study was to investigate the relationships between perfectionism (i.e., self-oriented and socially-prescribed perfectionism) and psychological well-being (i.e., vitality)/ill-being (i.e., emotional/physical exhaustion) and to examine the mediating effects of competitive state anxiety on the relationships. Three hundred two collegiate athletes participated in the study (Mage = 21.12yrs, SD = 1.28). The participants completed four questionnaires: Multidimensional Perfectionism Scale, Revised Competitive State Anxiety Inventory-2, Subjective Vitality Scale, and Emotional/Physical Exhaustion from Athlete Burnout Questionnaire. The hypothesized model presented an acceptable fit to the data. Specifically, χ2 (80) = 179.99 (p < 0.001), CFI = 0.973, TLI = 0.965, SRMR = 0.042, and RMSEA = 0.052 with 90% CI [0.042, 0.062]. The results indicated that self-oriented perfectionism was negatively related to competitive state anxiety (β = -.14, p < .005) and positively related to vitality (β =.26, p < .001), whereas socially-prescribed perfectionism was positively related to competitive state anxiety (β =.28, p < .001) and emotional/physical exhaustion (β =.15, p < .05). Competitive state anxiety was negatively related to vitality (β = -.14, p < .05) and positively related to emotional/physical exhaustion (β =.31, p < .001). Competitive state anxiety partially mediated the relationships between socially-prescribed perfectionism and emotional/physical exhaustion. The full mediating effects of anxiety on the relationships between self-oriented perfectionism and emotional/physical exhaustion and between socially-prescribed perfectionism and vitality were observed. Findings supported that self-oriented perfectionism was functionally adaptive to and socially-prescribed perfectionism was maladaptive to athletes’ psychological well-/ill-being.