Background The COVID-19 pandemic placed great pressure on health care workers and increased the risk of these workers developing mental illness. Effective leadership is essential to prevent mental illness from developing. The study aim was to investigate health care workers’ perceptions of the support given by their managers, their need for such support, and their levels of anxiety during the initial phase of the COVID-19 pandemic. Methods An electronic study-specific questionnaire was sent to health care workers. A convergent mixed-methods design was used, in which data were analyzed with descriptive statistics, t-tests, and qualitative content analysis. Results The majority of the 1074 participants experienced support from a manager who was physically present, caring, and sensitive to their needs, who provided information, and listened to their opinions. Those who did not receive this support experienced more anxiety, and the majority of them expressed a need for this support. A minority of the participants had a manager who scheduled reflection time; few asked for this support, and it was not found to be associated with lower anxiety levels. The qualitative analysis resulted in four themes: 1) A physically present and responsive manager who provides support based on the workers’ needs, 2) The workers understand their manager’s tough work situation and lack of resources, 3) There is a need for clear dissemination of information and participation in organizing the work, and 4) The care of patients is carried out with good cooperation. Conclusions The majority of the health care workers received adequate support from their managers. A manager has to be physically present, caring, and supportive to meet the workers’ needs and potentially reduce anxiety levels.