Although test anxiety has been studied extensively since the 1970s (Zeidner, 1988), research on how test anxiety is affected by academic self-concept, non-academic self-concept and academic emotions are still lacking. The purpose of this study is to explore whether students‟ academic self-concepts and non-academic self-concepts influence test anxiety, and if academic emotions mediate such relationship. A total of 702 secondary students from different middle schools in Macau participated in this study. The results show that certain academic emotions are significant mediators between certain self-concepts and test anxiety. Academic anger significantly mediates the relationship of mathematics self-concept to test anxiety. Academic anxiety significantly mediates the relationship of music, art and math self-concepts to test anxiety. Academic Shame is significant mediator between art self-concept and test anxiety. Regarding non-academic self-concepts, academic anger, anxiety and shame are significantly mediators between emotional self-concept and test anxiety. This study concludes that although not all academic emotions significantly mediate, academic anxiety, academic anger and academic shame seem to have established a pattern of mediating the relationship between certain self-concepts and test anxiety.