Objective: Research has established that cognitive vulnerability has a role in mood disorder. Researchers have taken a keen interest in exploring the role of pessimistic attribution style (PAS) found in depression, expecting that it can also explain comorbid disorders to depression. The objectives of this systematic review are to explore the narrow specificity of PAS, and to search for other attribution style, if any, in anxiety disorders. Method: PubMed, Research4Life and APA PsycArticles® databases were searched for relevant articles recorded up to May 18, 2021. All published empirical articles, systematic review or meta-analysis, which included at least any of the anxiety disorders diagnosed using Diagnostic and Statistical Manual (DSM, APA) or International Classification of Disease (ICD, WHO) in the context of attribution bias, were included. Title, abstract and methodology of the publications were screened for potential selection. Risk of bias in the reviewed articles was assessed using the GRADE system. Result: Total 628 records were screened, out of which 19 were found eligible for inclusion. Result suggests narrow specificity of PAS has limited evidence and studies lack a rigorous methodology to establish it. Conclusion: There is indication that various attribution biases can be present in different anxiety disorders including those reported in depression.