Dysfunctional processing of traumatic events may be in particular related to high trait anxiety as a pre-traumatic risk factor for the development of post-traumatic stress disorder (PTSD). However, as this has rarely been investigated in prospective, experimental studies, we aimed to analyse the association between high trait anxiety and affective as well as cognitive processing of stress using a new prospective Virtual Reality analogue trauma paradigm to overcome limitations of retrospective or current analogue designs. Individuals with high and low trait anxiety (N = 80) were exposed to a multi-sensory Virtual Reality emergency scenario while psychophysiological stress response, emotion regulation and intrusive memories were assessed. Our results showed that high trait anxiety individuals display increased (i) subjective stress responses, (ii) emotion dysregulation and (iii) intrusive memories upon VR analogue trauma exposure. In particular, our sample of high trait anxiety individuals displayed limited access to different emotion regulation strategies as well as increased worry and rumination regarding perceived intrusive memories. Considering the complex interplay of multiple risk factors, our findings suggests that peri-traumatic affective processing seems to mediate high trait anxiety and post-traumatic intrusive memories thereby pointing out the central role of peri-traumatic processes for intrusion development. In addition, HA as a modulating pre-traumatic risk factor might further increase the risk of later dysfunctional processing of an analogue trauma by interacting with factors of affective processing during analogue trauma exposure. Implications of these findings which may contribute to a higher risk to develop PTSD are discussed.