The aim of this study was to test a process model of students' learning in higher education, linking anxiety, course experience (positive and negative), self-worth protection (SWP) (self-handicapping, defensive expectations, reflectivity), student approach to learning (SAL) (deep/surface), and achievement. Path and bootstrap analyses of data from 899 first-year university students showed that anxiety significantly predicted all SWP strategies and that positive course experience negatively predicted defensive expectations, whereas negative course experience was linked to higher levels of self-handicapping and reflectivity. Deep approach was linked negatively to self-handicapping and positively to reflectivity, whereas surface approach was associated positively with both self-handicapping and defensive expectations. Finally, deep approach positively predicted achievement and partially mediated the effect of self-handicapping on achievement. These findings support the validity of linking SWP with SAL and demonstrate meaningful connections between these and the anxiety and course experience of students. Implications for theory and practice are discussed.