The aim of this study was to investigate the relation of self-efficacy and self-perception with anxiety of examination among students of Zahedan. The method used in this research was correlation. The statistic population of this study was all of the high school students of Zahedan. The number of the samples of this study was 320 students that were chosen by random cluster sampling method. Research instrument were the questionnaires of self-efficacy believes, Philips' scale of anxiety of examination and self-perception. The results showed that a negative significant correlation exists between the self-efficacy believes and the anxiety of examination. A significant positive correlation also exists among the anxiety of examination and the three factors of self-perception, passive, actorness and aggressive. The results of stepwise regression showed the passive self-perception, alone, can predict .25 of variances of the anxiety of examination and with actorness self-perception they can predict .29 of variances of anxiety of examination. In addition the results showed that the self-efficacy believes of male were more than female students. Also female students' anxiety of examination was more than male students.