We explored the cognitive and affective components of the Theory of Challenge and Threat States in Athletes (TCTSA) using a cross-sectional design. One hundred and seventy-seven collegiate athletes indicated how they typically approached an important competition on measures of self-efficacy, perceived control, achievement goals, emotional states and interpretation of emotional states. Participants also indicated to what extent they typically perceived the important competition as a challenge and/or a threat. The results suggest that a perception of challenge was not predicted by any of the cognitive components. A perception of threat was positively predicted by avoidance goals and negatively predicted by self-efficacy and approach goals. Both challenge and threat had a positive relationship with anxiety. Practical implications of this study are that an avoidance orientation appeared to be related to potentially negative constructs such as anxiety, threat and dejection. The findings may suggest that practitioners and researchers should focus on reducing an avoidance orientation, however the results should be treated with caution in applied settings, as this study did not examine how the combination of constructs exactly influences sport performance. The results provided partial support for the TCTSA with stronger support for proposed relationships with threat rather than challenge states.