Test anxiety caused by intolerance of uncertainty has a negative impact on the physical and mental health of student athletes, especially in the context of the coronavirus disease 2019 (COVID-19) pandemic. A total of 556 grade three high school student athletes in Chongqing, China, were investigated using the Test Anxiety Scale (TAS), Intolerance of Uncertainty Scale-12 (IUS-12), Perceived Social Support Scale, and Coping Style Scale for Middle School Students. Results reveal that more than half the student athletes experienced test anxiety, and the severity was above average during the COVID-19 pandemic. There was a significant correlation between intolerance of uncertainty, perceived social support, coping style, and test anxiety. A positive correlation was found between test anxiety, intolerance of uncertainty, and coping style toward emotions, and a negative correlation between test anxiety, perceived social support, and coping style toward problems. Intolerance of uncertainty has a direct predictive effect on test anxiety, and perceived social support and coping style play a chain mediator role between intolerance of uncertainty and test anxiety. By constructing the mediating effect model, we can, to some extent, reveal the mechanism of the influence of intolerance of uncertainty on test anxiety. This study has a certain reference value for the prevention of test anxiety in student athletes in the context of the COVID-19 pandemic.