Self-regulated learning has been shown to have a positive and long-lasting impact on students’ academic development, employability and career progression. Emotions, motivation and metacognition play an important role in students’ ability to monitor and regulate their learning, particularly when studying and engaging with Science, Technology, Engineering and Mathematics content. In this study, we investigated motivational, emotional and cognitive factors involved in self-regulated learning and their role in mathematics learning. Specifically, we analysed the impact of mathematics anxiety and self-regulated learning on mathematical literacy using the Australian subset of Programme for International Student Assessment 2012. Mathematics anxiety is a barrier to mathematical learning and is thought to hinder students’ engagement and the efficiency of their metacognitive processes. Using structural equation modelling, we showed that instrumental motivation and self-concept affect mathematics anxiety, which in turn negatively impacts mathematical literacy by affecting perseverance and self-efficacy. We consider the practical implications of our results and discuss how interventions to reduce students’ mathematics anxiety will allow for the development and/or improvement of self-regulated learning skills in mathematics.