The present study provides a comprehensive view of (a) the time dynamics of the psychophysiological responding in performing music students (n = 66) before, during, and after a private and a public performance and (b) the moderating effect of music performance anxiety (MPA). Heart rate (HR), minute ventilation (VE), and all affective and somatic self-report variables increased in the public session compared to the private session. Furthermore, the activation of all variables was stronger during the performances than before or after. Differences between phases were larger in the public than in the private session for HR, VE, total breath duration, anxiety, and trembling. Furthermore, while higher MPA scores were associated with higher scores and with larger changes between sessions and phases for self-reports, this association was less coherent for physiological variables. Finally, self-reported intra-individual performance improvements or deteriorations were not associated with MPA. This study makes a novel contribution by showing how the presence of an audience influences low- and high-anxious musicians' psychophysiological responding before, during and after performing. Overall, the findings are more consistent with models of anxiety that emphasize the importance of cognitive rather than physiological factors in MPA.