The purpose of this study was to explore relations between students' prior grades in mathematics, achievement goal orientations in math classes, math anxiety, and students coping strategies in math classes. Three achievement goal orientations (mastery goals, performance-approach goals, and performance-avoidance goals) and two coping strategies (problem-focused and self-protective strategies) were explored. Participants in the study were 939 middle school students. The study was designed as a cross-sectional survey. Data were analyzed by means of zero order correlations and structural equation modeling. The correlations between the three goal perspectives and between the two coping strategies were low. A mastery goal perspective strongly predicted the use of adaptive problem-focused coping strategies whereas this perspective predicted lower levels of math anxiety and less use of maladaptive self-protective coping strategies. A performance-avoidance goal perspective predicted higher math anxiety and more use of self-protective coping strategies. Performance-approach goals were not significantly related to math anxiety or to self-protective coping strategies. However, they were weakly and negatively associated with problem-focused coping strategies. Prior math grades were positively associated with mastery goals and performance-approach goals and negatively associated with performance-avoidance goals and math anxiety. No direct associations were found between grades and the coping strategies. The associations were indirect, mediated through mastery goals, performance-avoidance goals, and math anxiety.