All these words can have different meanings, depending on the context. But let's stick to comparing these three with each other.
Someone who feels nervous has a feeling of unease or apprehension, like before takeoff when travelling by plane.
When you are excessively nervous, for example, a child on the first day of school or an adult on his first day at his new job, then you could say that you are anxious.
Being tense is a state where your muscles are tight when you are filled with nervousness and anxiety, not being able to relax. When a student is about to take his IELTS exam, he may feel so nervous that his neck and shoulder muscles become tight or tense. Someone tense may easily jump up when he hears a sudden noise.
I hope this helps a bit.