It is argued that the increasing interest in the use of phenomenological methods in sport psychology could help rescue research in this area from its current obsession with measurement and prediction. Phenomenology proceeds from a very different set of philosophical assumptions from the natural science approach that underlies most research and practice in sport psychology. Phenomenology insists that psychology should focus on meaning and investigate the essence of human experience. The concept of anxiety occupies a central position within phenomenological perspectives in psychology. This paper examines the experience of anxiety in sport by drawing on applied sport psychology work undertaken with professional footballers in the English Premier League (EPL). The phenomenology of anxiety is considered by distinguishing between may’s psychological account and Heidegger’s philosophical perspective. Anxiety is viewed positively by both philosophical and psychological phenomenology due to its links to the idea of authenticity. This is discussed in depth in the paper and consideration will be given to how this connects to important sources of meaning and identity in sport, such as spirituality and religious belief.