Music performance anxiety is an issue that affects musicians at all levels but can begin in early adolescence. The researcher investigated three variables and their ability to predict music performance anxiety: catastrophization, self-regulation, and goal-setting style. Catastrophization is a negative thought that amplifies perceived criticism. Self-regulation is a metacognitive skill that allows students to plan strategies and evaluate learning. Goal-setting style refers to a student's framework when establishing learning objectives – whether they are focused on mastering the subject matter, or only trying to avoid being the worst in the class. A sample of adolescent wind musicians (n = 68) were administered four self-reporting measures for the predictor variables and music performance anxiety. Catastrophization, self-regulation, and goal-setting style were all statistically significant in predictor music performance anxiety, with catastrophization alone explaining 69% of the variance in the predictor variable. Overall, the whole model was able to explain 46% of the variance in music performance anxiety.