Musicians often play under circumstances in which pressure may lead to anxiety and performance deterioration. Theories suggest that a drop in performance is due to a shift in focus of attention towards task-irrelevant information. In this study, we asked music students to report what they think and where they focus attention in three situations: when they play under pressure (Study 1; n = 81), the moment just before choking under pressure and when they try to recover after a mistake (Study 2; n = 25). Focus of attention was examined using retrospective verbal reports and point-spread distributions. Besides a notable focus on music-related information (36.9%), music students reported a considerable number of worries and disturbing thoughts (26.1%) during playing under pressure (Study 1). Just before choking, they showed even more worries and disturbing thoughts (46.4%) at the cost of music-related focus (21.1%) (Study 2), as also confirmed by the point-spread distributions. During recovery after a mistake, attention was mainly focused on music-related information (53.0%) and less on thoughts that give confidence (18.5%) and physical aspects (16.6%). It is advisable to help music students with improving their performance, for example, by attentional control training or providing training with elevated levels of anxiety.