Math anxiety (MA) is considered to affect math performance and the choice of math-related education paths, thus contributing to the gender gap in STEM careers. Despite decades of research, the mechanisms driving the associations between MA, gender, and math performance remain largely unknown. This is mainly because different kinds of anxiety are rarely controlled for in MA-related studies. To fill this research gap, we collected assessments of MA, spatial anxiety, emotional stability, state anxiety, test anxiety, and math performance from 269 adults. We replicated previous findings that spatial anxiety in areas of navigation and mental manipulation, but not imagery, mediates the relationship between gender and MA. What is important in the light of the previous contradictory findings is that we found that math performance significantly mediates this relationship. Most crucially, we found that gender, spatial anxiety, emotional stability, state anxiety, test anxiety, and math performance explain 70% of the variation in MA. We conclude that the gender gap in MA that is frequently reported in the literature is not so salient when other anxieties are controlled for. The same holds regarding the link between MA and math performance.