Anxiety is one of the most studied research topics in sport psychology literature (Guillen & Sanchez, 2009); however, even though the Olympics are considered to be one of the most pressure-filled sporting events (Birrer, Wetzel, Schmidt, & Morgan, 2012), to date there has been no research aimed specifically at investigating Olympic athletes’ competitive state anxiety and its impact on subsequent performance. Furthermore, according to Nesti (2011), in order to support athletes in dealing with their experience of anxiety, researchers must turn towards the phenomenological, real-lived experience of the athlete to uncover what might best support positive anxiety management and interpretation in competition. The purpose of this study, therefore, was to respond to the gap in Olympic athlete anxiety research by examining the phenomenological experience of competitive state anxiety for female beach volleyball players at the 2012 London Olympics. Six in-depth, phenomenological interviews were conducted with these Olympic female beach volleyball players. Results indicated that, while all athletes in this study experienced anxiety at the 2012 Olympics, it was not the reduced intensity of anxiety that positively impacted their performance but rather the athletes’ ability to recognize, manage, and positively interpret their anxiety. In addition, it was shown that self-confidence further buffered the potentially negative impacts of anxiety. It is recommended that future research focus on extending phenomenological anxiety research to other sports and genders, and to specifically examine the impact of trait anxiety, team dynamics, and the experience of flow on athletes’ anxiety interpretation.