Based on the cognitive evaluation theory of emotion, this paper analyzes the influence mechanism and boundary conditions of fear of failure on entrepreneurial persistence from two perspectives of emotion and cognition. Through a questionnaire of 316 entrepreneurs, it is found that entrepreneurs with low fear of failure have higher self-efficacy and are more likely to persist in entrepreneurship. Self-efficacy plays an intermediary role between fear of failure and entrepreneurial persistence. Growth thinking reduces the negative effect of fear of failure on self-efficacy and it also reduces the negative effect of fear of failure on self-efficacy and promotes entrepreneurial persistence. According to the logic of “emotion – cognition - behavior”, the impact of fear of failure on entrepreneurial persistence is comprehensively analyzed from the perspective of entrepreneurs emotions and cognition, which not only provides explanations and theoretical insights for entrepreneurs to quit entrepreneurial activities, but also provides theoretical guidance for a comprehensive understanding of entrepreneurial persistence behavior.