In this conceptual article we draw upon the literature regarding cognitive and behavioural factors that underpin childhood anxiety to outline how a range of these risk markers might be targeted through adventurous play. When children play in an adventurous way, climbing trees, riding their bikes fast downhill, jumping from rocks, they experience feelings of fear and excitement, thrill and adrenaline. We propose that the positive, thrilling, playful emotions associated with this type of child-led play facilitates exposure to fear-provoking situations and, in doing so, provides opportunities for children to learn about physiological arousal, uncertainty and coping. We hypothesise that these learning opportunities will, over time, reduce children’s risk for elevated anxiety by increasing children’s expectations and ability to cope with anxiety, decreasing intolerance of uncertainty and preventing catastrophic misinterpretations of physiological arousal. If our conceptual model is correct then ensuring that children have the physical and psychological space required to play in an adventurous way may help to decrease their risk for elevated or clinical anxiety.