Background: This study examines the effect of test anxiety on the academic performance of postgraduate female students, focusing on their perceptions and experiences in open-book exams (OBE) and closed-book exams (CBE). Method: A qualitative case study design was employed using the Thinking Aloud Protocol (TAP) to collect data from five Saudi postgraduate students majoring in English at King Faisal University. Participants verbalized their thoughts and reflections during and after the exams, offering insights into their cognitive and emotional processes. Findings: The results indicate that while OBEs generally reduce anxiety by offering access to resources, they introduce unique challenges, including synthesizing information and managing time. CBEs, on the other hand, often exacerbate anxiety due to their emphasis on memorization and dense curricula. Vocabulary-related anxiety emerged as a significant factor across both exam formats, although students found unfamiliar terms easier to manage in OBEs. Implications: The study highlights the critical role of educators in shaping students' exam perceptions and the profound impact of initial expectations on their performance. Practical implications include the need for anxiety-sensitive assessment designs and the creation of supportive learning environments that mitigate stress and foster success. Recommendations: The research underscores the importance of addressing vocabulary challenges in both exam types and calls for further investigation into test anxiety across diverse academic and demographic contexts.