We aim to investigate how Cognitive Overload, Anxiety, Cognitive Fatigue, Avoidance Behavior and Data Literacy are related in Big Data environments. We developed a survey with 372 respondents and analyze the data using Partial Least Squares Structural Equation Modeling. The results demonstrate that Cognitive Overload is positively related to Anxiety and Avoidance Behavior. The relation between Cognitive Overload and Cognitive Fatigue is fully mediated by Anxiety. Anxiety is positively related to Cognitive Fatigue. The relation between Anxiety and Avoidance Behavior is fully mediated by Cognitive Fatigue. Cognitive Fatigue is positively related to Avoidance Behavior. Data Literacy is negatively related to Cognitive Overload and positively related to Cognitive Fatigue. The inverse relations between Data Literacy and Anxiety and Data Literacy and Avoidance Behavior are fully mediated by Cognitive Overload. The inverse relation between Data Literacy and Avoidance Behavior is fully mediated jointly by Cognitive Overload, Anxiety and Cognitive Fatigue.