This study aimed to investigate the impact of academic self-efficacy on test anxiety among higher vocational students, as well as the role of sense of life meaning, fear of failure, and gender difference in mediating this relationship. A total of 2231 higher vocational students from Shandong Province were surveyed by means of Academic Self-efficacy Questionnaire, Meaning in Life Questionnaire, and Test Anxiety Scale. There were significant negative correlations among academic self-efficacy, sense of life meaning, and test anxiety. Fear of failure was positively correlated with test anxiety. Sense of life meaning and fear of failure played a mediating role in the relationship between academic self-efficacy and test anxiety. The chain mediating effect was significant only in the female group, not in the male group. In contrast, academic self-efficacy indirectly predicted test anxiety by the independent mediating effect of sense of life meaning or fear of failure in the male group. Academic self-efficacy may influence test anxiety through the independent mediating effect of sense of life meaning, fear of failure, and the chain mediating effect, and there is a gender difference in these effects.