Rejection sensitivity has been demonstrated to be an important factor that is associated with trait anxiety. However, the underlying mechanisms of this association are less clear. The aim of this study was to test whether the association between rejection sensitivity and trait anxiety was indirectly affected by regulatory emotional self-efficacy and shyness. A total of 774 students (aged 17–32 years, M = 20.78 years, SD = 1.98) completed the Rejection Sensitivity Questionnaire, the Regulatory Emotional Self-efficacy Scale, the College Students’ Shyness Scale and the Trait Anxiety Scale. Our correlational analyses showed that rejection sensitivity was positively correlated with trait anxiety, supporting hypothesis 1. Furthermore, regulatory emotional self-efficacy was negatively related to rejection sensitivity and trait anxiety, while shyness was positively related to them, which provided support for hypothesis 2. More importantly, the results from structural equation modeling indicated that the relations of rejection sensitivity with trait anxiety were indirectly affected by regulatory emotional self-efficacy and shyness, supporting hypothesis 3. These findings suggested that regulatory emotional self-efficacy and shyness could explain how students’ rejection sensitivity influenced their trait anxiety and maladjustment.