Food allergy (FA) is recognized as a growing public health burden affecting 5%‐10% of children worldwide. Several unique features specific to FA elicit high levels of emotional distress and anxiety in patients and caregivers, the first among all the possibility of a life‐threatening reaction. Anxiety disorders are highly prevalent in patients with chronic disease, but remain undertreated despite significant negative consequences on patient health. This review aimed to offer a comprehensive overview of literature data on FA and anxiety of the last two decades. A review of the medical and psychological literature from the year 2000 (MEDLINE, PubMed and PsycINFO) was done using the keywords “anxiety” and “food allergy.” Clinical implications for disease management, various manifestations in different target groups, proper interventions and possible explanations on the nature of the association between FA and anxiety have been discussed, as well as limitations and further research directions. The relationship between FA and anxiety is attributed to FA‐specific fears and anxiety, rather than a general propensity towards anxiety. Some anxiety—short‐lived and related to key events–is to be expected and may even be helpful if it sustains allergen avoidance and preparedness to emergency. However, some data reported that increased anxiety did not improve adherence. Rather, high levels of anxiety have been demonstrated counterproductive and related to maladaptive coping. Further research is needed to elucidate the association between FA and anxiety, especially to understand biopsychosocial directions of the underlying mechanisms and to build proper, effective, standardized protocols of intervention. Clinicians must be aware of the association between FA and anxiety, understand their role in recognizing maladaptive anxiety and encouraging to seek psychological support when needed.