Attentional control theory (ACT) predicts that trait anxiety and situational stress interact to impair performance on tasks that involve attentional shifting. The theory suggests that anxious individuals recruit additional effort to prevent shortfalls in performance effectiveness (accuracy), with deficits becoming evident in processing efficiency (the relationship between accuracy and time taken to perform the task). These assumptions, however, have not been systematically tested. The relationship between cognitive trait anxiety, situational stress, and mental effort in a shifting task (Wisconsin Card Sorting Task) was investigated in 90 participants. Cognitive trait anxiety was operationalized using questionnaire scores, situational stress was manipulated through ego threat instructions, and mental effort was measured using a visual analogue scale. Dependent variables were performance effectiveness (an inverse proportion of perseverative errors) and processing efficiency (an inverse proportion of perseverative errors divided by response time on perseverative error trials). The predictors were not associated with performance effectiveness; however, we observed a significant 3-way interaction on processing efficiency. At higher mental effort (+1 SD), higher cognitive trait anxiety was associated with poorer efficiency independently of situational stress, whereas at lower effort (-1 SD), this relationship was highly significant and most pronounced for those in the high-stress condition. These results are important because they provide the first systematic test of the relationship between trait anxiety, situational stress, and mental effort on shifting performance. The data are also consistent with the notion that effort moderates the relationship between anxiety and shifting efficiency, but not effectiveness.