Women's football has been far less studied than men's. This work's objectives were to: (1) analyze the differences in psychological skills, mental toughness (MT), and anxiety in women football players according to their level (national team, first division, and second division); and (2) predict those three levels (using a multivariate model) according to the players’ psychological skills, mental toughness, and anxiety. One hundred and forty‐two Icelandic women football players (23.5���3.5�years) participated in the study. They were classified into three groups according to their level: national team, and first and second divisions. Three questionnaires were used: the Test of Performance Strategies Questionnaire, the Sport Mental Toughness Questionnaire, and the Sport Anxiety Scale‐2 questionnaire. A one‐way ANOVA with Bonferroni post hoc correction was used to examine differences between teams. Applying a classification tree analysis, the participants were classified into three groups according to their level. There were few differences between the three groups in psychological skills, but in mental toughness and anxiety the national team had the highest and lowest values respectively, and the first and second division players differed in relaxation in competition (TOPS), total score and confidence (SMTQ), and worry (SAS‐2). The classification tree correctly classified 54.9% of the sample with the variables total score (SMTQ) and activation in practice (TOPS). Therefore, given the relevance that psychological attributes appear to have for women football players’ performance, it would seem indispensable to incorporate the figure of the sports psychologist into national and club teams.