Individual differences in perceived ability to exercise control have long been considered to be an important predictor of who develops mental illness, particularly anxiety disorders. Although numerous studies have demonstrated a link between mastery and anxiety, few studies have used longitudinal methods that allow for more sophisticated analyses and stronger conclusions. The present study examines how mastery beliefs determine vulnerability to anxiety by examining the longitudinal course of anxiety within a 13-day ecological momentary assessment period and a 14 weeks biweekly assessment period. Results demonstrated that mastery beliefs predict both lower levels of mean levels of anxiety across time and less intraindividual variability in anxiety within days. These results suggest that mastery beliefs may provide a protective buffer against the experience of anxiety.