This study examines first-year student teachers' (N = 310) self-evaluated, study-related anxiety and exhaustion, and self-regulated learning (SRL) skills. Our presumption is that feelings of anxiety and exhaustion can be reduced with cognitive and motivational SRL skills. The association of cognitive and motivational SRL skills with feelings of anxiety and exhaustion were analysed with multiple multivariate regression analysis. The results indicate that high time- and study-environment management strategies and high self-efficacy beliefs reduced experienced feelings of anxiety and exhaustion. In addition, effort regulation had a reducing effect for anxiety. However, high extrinsic goal orientation predicted higher levels of anxiety and exhaustion and high task value predicted higher anxiety among student teachers. Particularly, female students had a stronger tendency to experience anxiety and exhaustion. The implications of the results for higher education and for teacher education are discussed.