The study examined how mathematics self-concept, mathematics anxiety and endorsement of mathematics gender stereotypes may impact female students' response pattern in multiple-choice examinations in courses with mathematical content. Questionnaires measuring these three variables were completed by 435 undergraduates (327 enrolled in a non-mathematical course and 108 in a course with mathematical content). Achievement was measured "via" multiple-choice examinations, thus allowing us to analyse students' response patterns (i.e. not only their mark but also the number of hits, errors and unanswered questions). In females, a poorer mathematics self-concept and higher levels of mathematics anxiety (compared with male classmates) did not impact negatively on their final mark in the course with mathematical content. However, the response pattern in this course differed according to gender and mathematics self-concept: a poorer mathematics self-concept was associated with a higher number of unanswered questions in women and a tendency toward a greater number of errors in men. This suggests that a poorer mathematics self-concept leads women to be more cautious during multiple-choice examinations so as to minimise mistakes, whereas in males it tends to be associated with a risk-taking response strategy. These results raise further concerns about the use of multiple-choice examinations, particularly for assessing mathematical knowledge in students with low mathematics self-concept.