Based on social cognitive theory and ecological systems theory, this study constructed a conditional process model to explore the relationship between academic self-efficacy and test anxiety as well as underlying psychological mechanisms through academic buoyancy and peer support. A sample of Chinese high school students (N = 560) completed questionnaires assessing academic self-efficacy, academic buoyancy, peer support, and test anxiety. Structural equation modeling (SEM) revealed an indirect effect of academic self-efficacy on test anxiety through academic buoyancy. Moreover, the results of the conditional process analysis demonstrated that this indirect effect was moderated by peer support. The findings suggested that both personal positive psychological characteristics (e.g., academic buoyancy) and school environmental factors (e.g., peer support) are protective factors for test anxiety in high school students. Limitations and implications for future research are discussed.