This study examined the relationship among cardiovascular responses indicative of challenge and threat states, self-efficacy, perceived control and emotions before an upcoming competition. Using a repeated-measures design, 48 collegiate athletes talked about an upcoming competition (sport-specific speech task) and the topic of friendship (control speech task), whilst cardiovascular responses (heart rate, preejection period, cardiac output, and total peripheral resistance) were collected and self-report measures of self-efficacy, perceived control, and emotions completed. Findings showed that participants with a physiological threat response reported higher levels of self-efficacy and excitement. Further, none of the other emotions or the cognitive appraisals of challenge and threat predicted cardiovascular patterns indicative of either a challenge or threat state. Thus, cardiovascular responses and self-report measures of self-efficacy, perceived control, and emotions did not correlate in the manner predicted by the theory of challenge and threat states in athletes. This finding may reflect methodological aspects, or that perhaps highly efficacious individuals believe they can perform well and so the task itself is more threatening because failure would indicate underperformance.