Multiple studies have demonstrated an association between cigarette smoking and increased anxiety symptoms or disorders, with early life exposures potentially predisposing to enhanced anxiety responses in later life. Explanatory models support a potential role for neurotransmitter systems, inflammation, oxidative and nitrosative stress, mitochondrial dysfunction, neurotrophins and neurogenesis, and epigenetic effects, in anxiety pathogenesis. All of these pathways are affected by exposure to cigarette smoke components, including nicotine and free radicals. This review critically examines and summarizes the literature exploring the role of these systems in increased anxiety and how exposure to cigarette smoke may contribute to this pathology at a biological level. Further, this review explores the effects of cigarette smoke on normal neurodevelopment and anxiety control, suggesting how exposure in early life (prenatal, infancy, and adolescence) may predispose to higher anxiety in later life. A large heterogenous literature was reviewed that detailed the association between cigarette smoking and anxiety symptoms and disorders with structural brain changes, inflammation, and cell-mediated immune markers, markers of oxidative and nitrosative stress, mitochondrial function, neurotransmitter systems, neurotrophins and neurogenesis. Some preliminary data were found for potential epigenetic effects. The literature provides some support for a potential interaction between cigarette smoking, anxiety symptoms and disorders, and the above pathways; however, limitations exist particularly in delineating causative effects. The literature also provides insight into potential effects of cigarette smoke, in particular nicotine, on neurodevelopment. The potential treatment implications of these findings are discussed in regards to future therapeutic targets for anxiety. The aforementioned pathways may help mediate increased anxiety seen in people who smoke. Further research into the specific actions of nicotine and other cigarette components on these pathways, and how these pathways interact, may provide insights that lead to new treatment for anxiety and a greater understanding of anxiety pathogenesis.