Examination as a word evokes varying degrees of anxiety in students depending on the importance of the examination, perceived difficulty level of the subject, and degree of preparedness for the examination. A perceived difficult subject would elicit higher anxiety levels, and test anxiety as a psychological condition can adversely affect people in every field of life (Cohen, 2004), and especially it adversely affects students who face different examinations. The suspicion is that test anxiety may not exist alone but co-exist with other forms of psychological distress such as depression, and psychological intervention such as cognitive therapy is expected to reduce students’ anxieties and any other psychological distress and consequently improve their academic performance. In an attempt to verify our suspicion and confirm the expectation, 420 senior secondary school students made up of 210 males and 210 females aged between 13 and 19 years responded to test anxiety, trait anxiety, and depressive symptoms inventories. 72 of the students whose test anxiety scores were higher than the group’s average score were divided into three groups and treated under three conditions of “no treatment”, “relaxation treatment alone”, and combined “relaxation and cognitive restructuring treatment”. Results obtained show that test anxiety, trait anxiety, and depression co-exist and are positively related, and they are negatively related to academic performance. In addition the combination of relaxation and cognitive restructuring treatment reduced anxiety and depression better than relaxation treatment alone or no treatment and improved test performance of the students much more than any of the other two conditions. The findings thus confirm the effectiveness and efficacy of cognitive therapy in managing anxiety and depression and improving academic performance, and when combined with relaxation technique, the combination optimizes academic performance.