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This study examines the longitudinal relations of achievement, self-concept and anxiety. Specifically, Chinese secondary school students (N = 823) completed questionnaires across three time points covering one school year, and we collected data on their mathematics and English (L2) scores. Cross-lagged panel models showed equal effect sizes in both pairs of time periods (T1-T2 and T2-T3). In both mathematics and L2 English, (a) achievement, self-concept and anxiety all showed at least moderate autoregression effects and relative stability, (b) achievement and self-concept showed reciprocal positive effects, and (c) self-concept negatively predicted subsequent anxiety. In mathematics but not L2 English, anxiety negatively predicted self-concept, and achievement negatively predicted anxiety, showing domain differences. Self-concept mediated achievement's negative effect on anxiety only in L2 English.