It can be really nerve racking playing in the finals of the Australian Open - like Andy Murray had to this weekend.
The British tennis star didn't manage to win and some people are saying that the pressure of such a big game might have got the better of him.
What makes you nervous? What happens when you feel like that - do you forget what to say or do?
Or do you have a great tip for beating the nerves and not letting the pressure get to you.
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"Forget about it!"
Millie, 10, Surrey, England
"To stop myself getting too stressed out I take deep breaths, it helps me calm down!"
Michaela, 10, Houston, USA
"I always think about my friends and just picture them smiling at me and helping me."
Abbie, 10, Northamptonshire, England
"I drink a glass of cold water and close my eyes. I try to do something to keep my mind off it - don't watch tennis if you're going to play a tennis match!"
Cara, 10, London, England
"I would watch Sunderland play or play on my iPad!"
Eve, 11, Yorkshire, England
"I punch my pillow or sleep on it."
Katy, 9, Edinburgh, Scotland
"Try not to think about it and pretend that no one else is there."
Charlotte, 12, Scotland
"Imagine everyone is naked!"
Saskia, 10, London, England
"Before a netball game, I try and get rid of the nerves by thinking of something funny. I just try to imagine that everyone looks really funny."
Ella, 14, Exeter, England
"I try to relax and take deep breaths."
Amy, 14, Bournemouth, England
"Blow up a beach ball!"
John, 10, Salford, England
"When I get nervous (which is a lot) I just think of making people happy and doing things as best I can. When I was the main part in the school play I was really nervous. But when I stepped out onto the stage I saw my mum smiling at me and acted like I'd never done before. Tip= do the best that you can and just do it for those that you love!"
Ellie Rose, 12, Hertfordshire, England
"I always worry about my homework! So before I start doing it, I listen to my favourite tracks."
Natalie, 12, Nottingham, England
"When I feel under pressure I go on my computer."
Erica, 12, London, England
"Think about the person you really care about! Do it for them!"
Lucy, 10, Colchester, England
"In singing class today. I got chosen to sing in a group and I was so scared! So I just took a deep breath and looked at the wall in the distance!"
Robyn, 11, Stockton-on-tees, England
"Try to imagine that you are on you own and there is nobody else there, except yourself!"
Emily, 11, Wales
"Just don't think about it!"
Rebecca, 12, Lancashire, England
"I get really nervous when it's review meeting and parents evening at school!"
Charlotte, 14, London, England
"Count down from 10!"
Holli, 14, London, England
"Try to think about something or someone that you really love and do it for them! If I need to perform well and I'm nervous, I do it for my mum!"
Shyanne, 14, London, England
"When I have geography homework due in, I always get nervous! So to calm me down, I listen to my iPad!"
Matthew, 12, Dorset, England