The present study investigated the relationship between statistics anxiety and the use of learning strategies. In addition, the relationship connected with self efficacy was investigated. 293 students of the Karl-Franzens University of Graz were recruited. Canonical correlation analysis was conducted to identify a combination of statistics anxiety dimensions which might be correlated to learning strategies and self efficacy. Female students, who score high in test-, class- and interpretation anxiety and additionally show negative attitudes towards statistics and who score low in self efficacy, prefer to memorize and they don?t use one of the two elaborating strategies. Female students, who show positive attitudes towards statistics, denominate organization, time and environmental management and nevertheless learning with colleagues to their favorite learning strategies, unconsidered the variable self efficacy. Male students, who appear to have a positive attitude towards statistics and score low in statistics anxiety, are more likely to use the strategies elaboration and critical thinking. They tend to refuse memorization and attention. Second aim of this study was to identify sex differences in the use of learning strategies, in the dimensions of statistics anxiety and in self efficacy. Except the dimensions computational self-concept and fear of statistic teachers, sex differences in statistics anxiety were found. The current study also suggests that differences do exist between female and male students in the use of learning strategies, except the strategies elaboration, attention and learning with colleagues. Many of the results can support previous studies. Students of the Karl-Franzens University of Graz show comparable results concerning statistics anxiety and the use of learning strategies.