Developing a better understanding of modifiable psychological factors that account for gender differences in anxiety may provide insight into interventions that can be used to target these risk processes. The authors developed a mediational model to examine the degree to which gender differences in anxiety are explained by instrumentality and mastery while controlling for the influence of environmental stress and social desirability. Undergraduates (159 men and 239 women) completed an online questionnaire including measures of mastery, instrumentality, daily hassles, social desirability, and anxiety. Women reported significantly lower levels of instrumentality and mastery and higher levels of anxiety than men. Path analyses indicated that instrumentality and mastery were both significant mediators of the relationship between gender and anxiety after controlling for social desirability and hassles. The addition of a direct path from gender to anxiety was not significant and did not improve the fit of the model. These findings suggest that differences in gender socialization and mastery learning experiences for men and women help account for the female preponderance of anxiety. Interventions aimed at building instrumentality and mastery, particularly among girls, may help buffer against anxiety. (Contains 2 tables, 2 figures and 2 notes.)