The Sex‐linked Anxiety Coping Theory (SCT) suggests that anxiety should relate to performance more strongly for males than females. In Study 1, we examined how the theory applied to five interview anxiety dimensions (appearance anxiety, behavioral anxiety, communication anxiety, performance anxiety, and social anxiety) using actual job applicants. In general, females reported higher levels of each type of interview anxiety than did males. However, consistent with SCT, Overall Interview Anxiety, Appearance Anxiety, and Social Anxiety demonstrated stronger negative relations with interview performance for males than for females. Consistent with the SCT, in Study 2 we found that females had more effective coping orientations for job interviews than did males.