Individuals’ unverified information sharing on social media, namely, sharing information without verification, is a major cause of the widespread misinformation amid the COVID-19 pandemic. The association between perceived information overload and unverified information sharing has been well documented in the cognitive overload approach. However, little is known about the underlying mechanism of this process. This study aims to explore the mediating role of anxiety and the moderating role of perceived herd between perceived information overload and unverified information sharing on WeChat. Anxiety demonstrates people’s emotional response to the pandemic, whereas perceived herd describes a willingness to share certain information if it has been shared by many. The results of an online survey in China (N = 525) showed that perceived information overload was positively associated with unverified information sharing. In addition, this relationship was partially mediated by anxiety. Moreover, perceived herd positively moderated the link between anxiety and unverified information sharing, such that the indirect effect of perceived information overload on unverified information sharing via anxiety was significant in conditions where the level of perceived herd was high, whereas the indirect effect was not significant in conditions where the level of perceived herd was low. The moderated mediation model extends the cognitive overload approach and indicates that unverified information sharing is not only an individual strategy to cope with information overload but also a herding behavior to manage anxiety. Practical implications for curbing people’s tendencies toward unverified information sharing on social media are discussed.