The COVID-19 pandemic caused a great emotional impact on the general population, with specific consequences in the field of sport and physical activity. The present study was conducted to meet two objectives: (1) to investigate if the pandemic had an impact on competitive anxiety and if the sex and competitive level played a mediating role, and (2) to investigate if the relationship between emotional self-control and anxiety was affected by the pandemic. An amount of 608 Spanish athletes participated, divided into two cohorts, before and after the pandemic. Measurements of competitive anxiety and emotional self-control were made at both time points, which were processed by combining analysis of variance and regression models. Differences were found in competitive anxiety before and after COVID-19, with athlete’s competitive level acting as a mediating variable. For high-level athletes, there was an increase in anxiety, while for lower-level athletes, there was a decrease in anxiety. The pandemic seems to have led to higher levels of anxiety in elite athletes, compared to amateur athletes. There was no interaction between the sex of the participants and the cohort. Emotional self-control remained a significant predictor of low competitive anxiety levels.