Objectives: In this paper, we explore the relationship between the psychological capital, sport anxiety, and sport performance of collegiate judo athletes. Methods: The research object is the collegiate first-division judo athletes in Taiwan. Convenience sampling was used to conduct an online survey. A total of 106 questionnaires were issued, 102 valid questionnaires were returned, and the effective response rate was 96.23%. The data were analyzed by using confirmatory factor analysis (CFA) and structural equation modeling (SEM). Results: The psychological capital of collegiate judo athletes has a significant positive impact on sport performance; moreover, the sport anxiety of collegiate judo athletes has a significant negative impact on psychological capital. Through psychological capital, sport performance can be improved. Therefore, psychological capital has an intermediary effect. Conclusion: This study shows the higher the level of mental capital of collegiate judo athletes, the better the positive impact on sport performance; in addition, the higher the sport anxiety, the lower the psychological capital. However, sport anxiety can improve sport performance through psychological capital; therefore, we recommend that the training plan of collegiate judo athletes focus on strengthening the athletes' mental skills to improve their sport performance.