Anxiety plays a central role in human life and psychotherapy. First, we aim to clarify the concepts of existential anxiety (through its association with values, freedom, will, wishes, and the process of wishing), trait anxiety, state anxiety, normal anxiety, and neurotic anxiety. Second, we emphasize how will and wishes are vital for coping with anxiety. Third, we propose practical strategies for coping with anxiety in a constructive way, based on the review by Rollo May, Irvin Yalom, and Kirk Schneider. Finally, we address how these strategies contribute to emotional regulation and better ways of focusing attention by understanding the relationship between wish and will.