A growing number of studies suggest that flow experience is associated with life satisfaction, eudaimonic well-being, and the perceived strength of one’s social and place identity. However, little research has placed emphasis on flow and its relations with negative experiences such as anxiety. The current study investigated the relations between flow and anxiety by considering the roles of self-esteem and academic self-efficacy. The study sample included 590 Chinese university students, who were asked to complete a self-report questionnaire on flow, anxiety, self-esteem, and academic self-efficacy. Data were analyzed using structural equation modeling (SEM) with AMOS software, in which both factorial analysis and path analysis were performed. Results revealed that the experience of flow negatively predicted anxiety, and both self-esteem and academic self-efficacy fully mediated the path between flow and anxiety. Specifically, self-esteem played a crucial and complete mediating role in this relationship, while academic self-efficacy mediated the path between self-esteem and anxiety. Our findings enrich the literature on flow experience and help with identifying practical considerations for buffering anxiety and more broadly with fostering strategies for promoting psychological sustainability and resilience.