The purpose of the present investigation was to empirically examine Hanin’s (1980) Zone of Optimal Functioning (ZOF) hypothesis using a multidimensional anxiety approach. Female collegiate softball players (N = 13) had optimal cognitive, somatic, and combined cognitive/somatic anxiety zones created using three different methods (retrospective-best, retrospective-postcompetition, precompetition) over seven different competitions to test the relationship between ZOF and both subjective and objective performance measures. Results revealed no significant differences between the three different methods of determining players’ zones of optimal functioning. In addition, no significant differences were found in subjective performance regardless of whether performance was inside or outside players’ cognitive, somatic, or cognitive/somatic combined zones. Nonparametric analyses revealed superior objective performance occurred when players were outside their combined somatic/cognitive ZOF. Results are discussed in terms of Hanin’s ZOF hypothesis and methodological limitations in examining optimal anxiety states, assessing performance, and the operationalization of the optimal zone of functioning.