(1) Background: Individuals' psychological traits can influence not just success in sport but also the ability to learn new motor skills. We investigated whether sport courage, worry and fear differ between alpine ski-naive and basic level skiers and how they affect ski learning. (2): A total of 337 students (249 ski-naive and 88 basic level) participated in research consisting of a four-part questionnaire and structured skiing program. (3) Results: For beginners, lower fear (r = -0.30, p < 0.01) and higher Self-efficiency (r = 0.28, p < 0.05) and mastery (r = 0.20, p < 0.01) were associated with better performance; reducing fear and increasing self-efficiency and worry increased performance. Experienced skiers were better in determination, mastery, and self-efficiency (all p < 0.05). In case of lower score in worry (r = -0.28, p < 0.01) and higher in self-efficiency (r = 0.22, p < 0.05) performance was better. Males scored higher in sport courage scale-31 (all p < 0.05). In particular, self-efficiency was associated with better (r = 0.39, p < 0.01), and higher fear with poorer performance (r = -0.33, p < 0.01). Moreover, self-efficiency was a predictor of ski success (p < 0.001). On the other hand, females like ski beginners scored higher in fear (p < 0.001). In females, determination, mastery and self-efficiency had a positive correlation with skiing (r = 0.21, p < 0.05, r = 0.28, p < 0.01, and r = 0.33, p < 0.01, respectively), while association between Fear and skiing (r = -0.46, p < 0.01) was negative, and fear (p < 0.001) was inversely related to success. (4): Conclusions: Psychological factors and gender differences need to be considered during learning phases of alpine skiing. There is a positive association between self-efficiency and performance of male ski beginners, and negative association between fear and achieved results in basic alpine ski school in case of female ski beginners.