From a young age, children’s math achievement is influenced by individual factors, such as math anxiety. While math anxiety has been linked to math avoidance, few studies have explored this link in young children, particularly in the context of play. Because play-based instruction is commonly used for math in early childhood classrooms, understanding the impact of math anxiety on children’s engagement in math-related play may have important implications for children’s early math learning. The current study examined the role of children’s math anxiety in their persistence and exploration during a math toy play task. We observed wide variability in children’s play behaviors, finding that children’s actions during play did not relate to their math anxiety, but their talk related to math while playing with the toy did. There are also age and gender differences in math anxiety, school experience, and reasoning about the toy play task. These results suggest that math anxiety may influence certain aspects of children’s engagement in math-related play, and that more research is needed to consider links between math anxiety and math avoidance in young children.