Anxiety disorders disproportionally affect females and are frequently comorbid with eating disorders. With the emerging field of nutritional psychiatry, focus has been put on the impact of diet quality in anxiety pathophysiology and gut microbiome underlying mechanisms. While the relationship between diet and anxiety is bidirectional, improving dietary habits could better facilitate the actions of pharmacological and psychological therapies, or prevent their use. A better understanding of how gut bacteria mediate and moderate such relationship could further contribute to develop personalized programs and inform probiotics and prebiotics manufacturing. To date, studies that look simultaneously at diet, the gut microbiome, and anxiety are missing as only pairwise relationships among them have been investigated. Therefore, this study aims at summarizing and integrating the existing knowledge on the dietary effects on anxiety with focus on gut microbiome. Findings on the effects of diet on anxiety are critically summarized and reinterpreted in relation to findings on (i) the effects of diet on the gut microbiome composition, and (ii) the associations between the abundance of certain gut bacteria and anxiety. This novel interpretation suggests a theoretical model where the relationship between diet and anxiety is mediated and/or modulated by the gut microbiome through multiple mechanisms. In parallel, this study critically evaluates methodologies employed in the nutritional field to investigate the effects of diet on anxiety highlighting a lack of systematic operationalization and assessment strategies. Therefore, it ultimately proposes a novel evidence-based approach that can enhance studies validity, reliability, systematicity, and translation to clinical and community settings.