We leveraged information from more than 1.2 million participants to investigate the genetics of anxiety disorders across five continental ancestral groups. Ancestry-specific and cross-ancestry genome-wide association studies identified 51 anxiety-associated loci, 39 of which are novel. Additionally, polygenic risk scores derived from individuals of European descent were associated with anxiety in African, Admixed-American, and East Asian groups. The heritability of anxiety was enriched for genes expressed in the limbic system, the cerebral cortex, the cerebellum, the metencephalon, the entorhinal cortex, and the brain stem. Transcriptome- and proteome-wide analyses highlighted 115 genes associated with anxiety through brain-specific and cross-tissue regulation. We also observed global and local genetic correlations with depression, schizophrenia, and bipolar disorder and putative causal relationships with several physical health conditions. Overall, this study expands the knowledge regarding the genetic risk and pathogenesis of anxiety disorders, highlighting the importance of investigating diverse populations and integrating multi-omics information.