The purpose of this study was to determine the relationship between statistics self-efficacy, statistics anxiety, and performance in introductory graduate statistics courses. The study design compared two statistics self-efficacy measures developed by Finney and Schraw (2003), a statistics anxiety measure developed by Cruise and Wilkins (1980), and a course performance measure. To view self-efficacy from two perspectives, the Current Statistics Self-Efficacy (CSSE) assessed student confidence in their ability to complete specific statistics tasks in the present, whereas Self-Efficacy to Learn Statistics (SELS) assessed student confidence in their ability to learn statistics in the future. The performance measure was the combined average of the midterm and final exam scores only, excluding grades from other course activities. The instruments were distributed to four sections of an introductory graduate statistics course (N=88) in a College of Education at a large metropolitan university during the first week of the semester during Fall 2009 and Spring 2010. Both of the statistics self-efficacy measures revealed a low to moderate inverse relationship with statistics anxiety and a low to moderate direct relationship with each other. In this study there was no correlation between statistics anxiety (CSCS), statistics self-efficacy (CSSE and SELS), and course performance. There was high internal reliability for each instrument's items making the instruments suitable for use with graduate students. However, none of the instruments' results were significant in relation to course performance with graduate students in this sample. Unlike prior research involving undergraduate-level statistic students that has reported a relationship between the CSSE and SELS, the present study, involving graduate students, did not find any significant correlation with performance. Additional research is suggested to investigate the reasons for the differences between the studies.