Operational performance in military settings involves physical and mental skills that are generally investigated separately in lab settings, leading to reduced ecological validity. Therefore, we investigated the effects of anxiety and exercise-induced fatigue, separately and in combination, on cognitive and shooting performance of 22 soldiers in a real-world setting. Findings indicated that soldiers' shooting accuracy and decision-making and mathematical skills decreased significantly under anxiety. Whether exercise-induced fatigue was beneficial or detrimental to task performance depended on the task at hand. The increased arousal levels through exercise prevented shooting accuracy from deteriorating in the decision task. In contrast, cognitive performance suffered from the increased arousal: participants more often failed to shoot when being fired at by an opponent and also math performance seemed to decrease. We conclude that anxiety can deteriorate soldier performance and that exercise-induced fatigue may improve or deteriorate performance in combination with anxiety depending on the nature of the task. Practitioner Summary: Soldiers encounter anxiety and exercise-induced fatigue. We investigated to what degree these factors influence soldiers' shooting and cognitive performance. Experimental manipulation of anxiety and exercise during a representative field course indicated decreased performance under anxiety. Exercise prevented shooting accuracy from deteriorating under anxiety, although cognitive performance was negatively affected after exercise. © 2014 Taylor & Francis.