Stress-induced changes in the immune system, which lead to neuroinflammation and consequent brain alterations, have been suggested as possible neurobiological substrates of anxiety disorders, with previous literature predominantly focusing on panic disorder, agoraphobia, and generalized anxiety disorder, among the anxiety disorders. Anxiety disorders have frequently been associated with chronic stress, with chronically stressful situations being reported to precipitate the onset of anxiety disorders. Also, chronic stress has been reported to lead to hypothalamic–pituitary–adrenal axis and autonomic nervous system disruption, which may in turn induce systemic proinflammatory conditions. Preliminary evidence suggests anxiety disorders are also associated with increased inflammation. Systemic inflammation can access the brain, and enhance pro-inflammatory cytokine levels that have been shown to precipitate direct and indirect neurotoxic effects. Prefrontal and limbic structures are widely reported to be influenced by neuroinflammatory conditions. In concordance with these findings, various imaging studies on panic disorder, agoraphobia, and generalized anxiety disorder have reported alterations in structure, function, and connectivity of prefrontal and limbic structures. Further research is needed on the use of inflammatory markers and brain imaging in the early diagnosis of anxiety disorders, along with the possible efficacy of anti-inflammatory interventions on the prevention and treatment of anxiety disorders.