Anxiety is among the most frequently studied emotions in second language acquisition (SLA). Study abroad (SA) researchers have examined its effects on SLA in that setting in a number of studies. The current study goes beyond previous SA research by examining how anxiety develops and connects with language proficiency development over SA. Specifically, it uses anxiety-related measures of foreign language classroom anxiety (FLCA), foreign language enjoyment (FLE), and a physiological manifestation of anxiety (hair cortisol). As far as the classroom is concerned, learners grew more comfortable, experiencing less anxiety and more enjoyment over the period of SA. However, learners showed physiological signs of overall elevated anxiety despite these increasing classroom comfort levels. Two key factors that may have influenced their anxiety levels abroad were tendency toward anxiety prior to SA and language proficiency upon departure for SA. The latter provides support for having students more proficient prior to SA, since doing so may lead to less anxiety during SA.