Introduction: A sport injury is an unfortunate event that can significantly impact the injured athletes' psychology. There have been no studies examining gender differences in the psychological state after a sport-related musculoskeletal injury. Τhe aims of the current study were to (a) investigate the relationship between re-injury worry levels, confidence, and attention in the injured athletes who followed a rehabilitation program in order to return to competition, and (b) compare differences in these psychological factors between male and female athletes. Methods: A cross-sectional research design was used. A total of 60 athletes (30 men and 30 women) volunteered to participate, aged 25.50 ± 5.25 years old, all of whom had experienced a musculoskeletal injury within the past year. Three validated questionnaires, i.e., the Causes of Re-Injury Worry Questionnaire, the Sport Confidence Questionnaire of Rehabilitated Athletes Returning to Competition, and the Attention Questionnaire of Rehabilitated Athletes Returning to Competition, were completed by the participants on their first competitive game after their rehabilitation program. Results: All of the athletes experienced average levels of re-injury worry due to their opponents' ability and distraction attention, and high levels of confidence and functional attention. Many factors from the questionnaires were correlated with each other. Men experienced lower levels of re-injury worry due to rehabilitation compared to the women athletes (U = 329.00, p < 0.05), and women exhibited higher "Re-injury Worry due to Opponent's Ability" compared to the men athletes (U = 292.00, p < 0.01). Conclusions: A strong relationship was found between re-injury worry, confidence, and attention, with few gender differences. Since there is no previous research examining re-injury worry, confidence, and attention between men and women, future research with larger and more homogeneous samples is needed to confirm the present results.