According to psychoanalysis, anxiety signals a threat whenever a forbidden feeling emerges. Anxiety triggers defenses and maladaptive behaviors, thus leading to clinical problems. For these reasons, anxiety regulation is a core aspect of psychodynamic-oriented treatments to help clients. In the present theoretical paper, we review and discuss anxiety generation and dysregulation, first from a neural point of view, presenting findings from neuroimaging and psychophysiological studies. The aim is to trace parallels with psychodynamic theories of anxiety. Then, we discuss the psychological mechanisms and neural bases of emotion regulation in the laboratory, and possible neurobiological mechanisms of anxiety regulation in psychotherapy. We describe two different approaches to emotion/anxiety regulation, one based on the standard cognitive model of emotion regulation, the other based on psychodynamic principles and affective neuroscience. We then illustrate in detail a dynamic experiential approach to regulation. This model claims that emotions arise before cognition and are not inherently dysregulated. Dysregulation emerges from co-occurrences of emotions and associated anxiety. Technical consequences of this model are discussed and include strategies to regulate anxiety.