Using the Programme for International Student Assessment (PISA) 2015 data for Italy, this paper offers a complete overview of the relationship between test anxiety and school performance by studying how anxiety affects the performance of students along the overall conditional distribution of mathematics, literature and science scores. We aim to indirectly measure whether higher goals increase test anxiety, starting from the hypothesis that high-skilled students generally set themselves high goals. We use an M-quantile regression approach that allows us to take into account the hierarchical structure and sampling weights of the PISA data. There is evidence of a negative and statistically significant relationship between test anxiety and school performance. The size of the estimated association is greater at the upper tail of the distribution of each score than at the lower tail. Therefore, our results suggest that high-performing students are more affected than low-performing students by emotional reactions to tests and school-work anxiety.