Anxiety is an important and recurrent problem in people with severe mental illness (SMI). The aim of this work is to measure the effectiveness of the Music Therapy nursing intervention in reducing anxiety in outpatients diagnosed with SMI (bipolar disorder and schizophrenia). The intervention was structured over five weeks (ten 1-h sessions, twice weekly). Objective measures (blood pressure, heart rate, and respiratory rate) and subjective measures (anxiety response and the subjective perception of relaxation) were taken before and after every session. Our results show that this nursing intervention entails an objective reduction of the respiratory rate ((−4.5, −0.5) breaths per minute), the heart rate ((−5.80, −2.13) bpm), and it evidences a reduction in the subjective perception of anxiety (16.08% mean reduction in state anxiety). Considering all the sessions, the subjective perception of relaxation increased 97.33% of the time. This study provides evidence that the Music Therapy intervention can effectively promote relaxation and reduce anxiety symptoms in people with SMI. This study was retrospectively registered at Clinical Trials with Protocol Identifier NCT06315049.