The relation between anxiety, cognitive self-evaluation, performance, and electrical brain activity (event-related potentials, ERPs) in a sustained attention task (Go/NoGo; SART) was investigated in 18 participants. No significant correlation was found between reaction times and anxiety (assessed by State and Trait Anxiety Inventory or STAI), and cognitive self-evaluation (assessed by Cognitive Failures Questionnaire or CFQ). N2 (ERP time-window 250-350ms) and P3 (350-650ms) amplitudes were found to be related to anxiety and cognitive self-evaluation. N2 amplitude increased in trait and state high anxious participants, whereas P3 decreased in participants who reported a higher frequency of cognitive failures. Electrophysiological responses revealed that cognitive strategies were probably activated by more anxious and less self-confident individuals in order to be efficient in their performance. As shown by current research, frontal areas and anterior cingulated cortex appear to be particularly involved in this affective-cognitive interaction.