Introduction Dental undergraduate students encounter anxiety in their professional years of study, the impact of which is reflected on their overall performance. Various coping techniques are advocated that help individuals to deal effectively with the adverse effects of anxiety. Objective/aims The objectives of this study were to determine the level of anxiety encountered by dental undergraduate students during clinical rotations, the clinical procedures precipitating it and the number of different coping strategies (problem solving, social seeking support, and avoidance) used by students for anxiety management. Methods A descriptive, questionnaire‐based, cross‐sectional study was conducted on the third and fourth‐year undergraduate dental students from six colleges of Islamabad and Rawalpindi. A total of 353 students were included in the study, and their participation in the study was anonymous and voluntary. The administered questionnaire consisted of three parts: Part 1: Moss and McManus Scale (MMM) for anxiety‐provoking situations; part 2: Hamilton Anxiety Rating Scale (HAM‐A) for the level of anxiety, and Part 3: Coping Strategy Indicator Scale (CSI scale) to determine the frequency of coping strategies used by students. The data were collected and analyzed using SPSS version 22.0. Results A majority of participants (96.3%) felt mild to moderate levels of anxiety in the clinical settings. Students felt more anxious about getting infected by the patient (62%), extracting the wrong tooth (46.5%), and getting a wrong diagnosis (43.1%). A significant number of participants (47%) used problem‐solving mechanisms to overcome their anxiety. Conclusion Mild to moderate levels of clinical anxiety prevailed in most dental undergraduate students. The top clinical situations precipitating anxiety were getting infected by patients and extracting the wrong tooth. Measures should be taken to encourage a vigorous, confidence‐enhancing environment for students. This will reduce their levels of clinical anxiety along with training and foster healthy coping strategies to deal with unavoidable anxiety.