The present study was conducted to investigate prediction of exam anxiety according to personality features and the self-efficacy in MA female students at Islamic Azad University, Khomeinishahr Branch in academic year 2015-16. It had descriptive-correlational research method and its statistical population included all 740 MA female students at Islamic Azad University, Khomeinishahr Branch in academic year 2015-2016. The sample size was determined 256 individuals according to Morgan table through random sampling method who were selected from all MA students at Islamic Azad University, Khomeinishahr branch. The applied instrument in the present study included NEO five-factor personality inventory, Sarason’s test anxiety questionnaire and Sherer’s self-efficacy questionnaire. After collecting questionnaires and extracting raw data, the data analysis was done via SPSS software through descriptive statistical, regression analysis and Pearson correlation methods. The results of Pearson correlation analysis revealed that there is a significant relationship between personality aspects of components of adaptability (-0.19), empiricism (-0.15) as well as self-efficacy (-0.36) and the exam anxiety (p˂0.05). In addition, the results of regression analysis showed that, adaptability, accountability and self-efficacy can predict the exam anxiety of female students (p˂0.05). According to the study results it seems necessary in treating the students’ exam anxiety to pay enough attention to personality features and their component of self-efficacy in order to facilitate their treatment process.