The effectiveness of counselor supervision is often diminished because of supervisee anxiety. Drawing from the cognitive theories, this article contends that supervisee anxiety is a result of placing one's self‐worth on the external, and often vague, criteria of approval from others and competence in one's performance. While it is not uncommon or unprofessional for supervisees to feel anxious, high levels of anxiety can trigger a variety of defensive reactions that inhibit the learning process. For this reason, supervisors are encouraged to help supervisees resolve their approval and performance anxiety and thus increase their potential for growth and change. The anxiety management approach presented in this article is based on the principles of rational‐emotive and cognitive‐behavior therapies and stresses the importance of identifying feelings and beliefs, cognitive restructuring, and behavior risk taking.